Mice are the most intelligent species on Earth. In fact, they are so smart that they are immune to placebo effects. However, they act like they aren't because our reactions provide them much entertainment - http://hitchhikers.wikia.com/wiki/Mice

Edited to add: On a more serious note, I don't know if mice are susceptible to a Hawthorne-like effect http://psychology.about.com/od/hindex/g/def_hawthorn.htm Even physical science researchers have to deal with observer effects http://en.wikipedia.org/wiki/Observer_effect_%28physics%29

Edited to clean up brain-drained errors.