Among $n+1$ people, a subset is randomly selected (i.e., each person will be in the subset or not with probability $1/2$). Then one person in the subset (if it is nonempty) is selected at random to win a prize. What's the probability that I (one of the $n+1$ people) win it?
There are $\binom{n}{k}$ ways to pick a subset of size $k+1$ that contains me; the probability of that subset is $\frac{1}{2^{n+1}}$, and the probability that I am the one selected is $\frac{1}{k+1}$. So the desired probability is
$$
\frac{1}{2^{n+1}} \sum_{k=0}^n \frac{1}{k+1} \binom{n}{k}. \tag{1}
$$
On the other hand, everyone out of the $n+1$ has an equal chance of winning, and there is only a $\frac{1}{2^{n+1}}$ chance of no one being selected, so the probability is
$$
\frac{2^{n+1} - 1}{2^{n+1}} \cdot \frac{1}{n+1}. \tag{2}
$$
Thus (1) and (2) are equal, and if we multiply by $2^{n+1}$ we get
$$
\sum_{k=0}^n \frac{1}{k+1} \binom{n}{k}
= \frac{2^{n+1} - 1}{n+1}.
$$