At the scene where the wicked witch throws a ball of fire at the Scarecrow, after the Tin-Man puts the fire out with his hat, Scarecrow, Dorothy, and the Tin-Man are discussing what the wicked witch just said (turn me into a beehive and whatnot). Notice that Dorothy is clutching Toto to her chest. When the camera angle changes to Dorothy saying "I feel like I've known you all along," Toto is nowhere to be seen... the world famous "vanishing dog" trick!