Infinity is one of those things you get better understanding with practice. The problem is that there is more than one type that is typically used.
The easiest type of infinity that arises has to do with limits and approximations. This is the sort that was mentioned above about pi=3.1415926535.... This is actually a way of thinking about successive approximations, 3.1, 3.14, 3.141, 3.1415, 3.14159, ... with each approximation getting closer to the 'goal'. of course, there is nothing special about pi in this. One-third is represented by .3333.... and this is also a sequence of better and better approximations to the goal . There *is* a difference (irrational numbers versus rational numbers), with one repeating cyclically, and the other not. But the 'infinite expansion' part is the same for both.
The next easiest type is cardinality. Here, two sets are the 'same size' if there is a way to pair off members of each with members in the other in a one-to-one way that pairs everything. But, when dealing with this type of infinity, a lot of intuitions that arise in the study of finite sets fail. In particular, it is quite possible for a set and a proper subset to have the 'same size' in this sense.
For example, we can pair every positive integer (1,2,3,4,5,...) with the even positive integers (2,4,6,8,10,...) by just pairing each with its double.
Our intuition is violated because we think of there being 'more' integers than even integers (which is true when dealing with subsets), even though the two have the same cardinality (they can be paired off perfectly). The point is that we have to be precise *which* version of 'larger' we mean in such situations.
Another violation of intuition is that there are infinite sets that are NOT the same size as these: there are legitimately different 'sizes' of infinity.
While this is strange at first, it is something that becomes more natural with familiarity and ALL mathematics students at a certain level are required to be able to deal with this notion of infinite size.
Finally (at least here), there is the notion of ordinality, which has to do with the order of things (first, second, third, etc). The first infinite ordinality is that of the positive natural numbers, 1,2,3,4,5.....
But we can then put another ordinal after all of these (usually called omega) and keep on going, so we have
1,2,3,4,5,...,omega, omega+1, omega+2, ....., omega*2, ..., omega*omega,....
All of these are the 'same size' when viewed in terms of cardinality, though.
In modern math, this also continues to ordinals that are NOT the same size of these in terms of cardinality.
So this is three different notions of 'infinity' that give different answers and are appropriate in different contexts. It is possible to develop intuition on how these all work and how they interact, but at base there is more than one notion of infinity that needs to be addressed and confusing the different notions leads to all sorts of badness.