The easiest example to visualize is the infinite points of the extended real line. The real line has the same shape1 as the open interval (0, 1), and the extended real line has the same shape as the closed interval [0, 1]. In this picture, the points +\infty and -\infty of the extended real line correspond to 1 and 0.
If you curl [0, 1] into a circle (so that 0 and 1 become the same point), you get the projective real line.
The projective complexes have a similar picture: you can wrap the complexes up into a sphere missing a point. Under this picture, complex projective infinity would correspond to that missing point.
1: topologically, at least. There is a homeomorphism between the two spaces. For example, the map f(x)= (\arctan(x) + \pi / 2) / \pi