I find the idea of the wave function being 'just' a collection of numbers (probabilities) quite alluring, and elegant in explaining away the whole 'collapse' business (see Luboš' answer to this question).
I realize though, you can only stretch an analogy so far. Yes, learning location of a wanted criminal does not in fact 'collapse' his wave function, but is there any analogy which explains wave function interfering with itself (as per double split experiment)?