The answer is the 2 slit experiment. Suppose you have that the probability of a particle entering in slit 1 is 0,3 and the probability of the same particle entering in slit 2 is 0,5, then in classical probability the probability of entering in either slit 1 or 2 is 0,8. Nevertheless in QM the answer could be more or less than that depending on the distance of the slits, the velocity of the particles and such. So, they noticed that, in order to predict such behaviour, a particle should be described by 2 real numbers (real and complex part of the wave function).
There is a paper that states more precisely this point of view:
"Origin of Complex Quantum Amplitudes and Feynman's Rules"
Philip Goyal, Perimeter Institute, Waterloo, Canaday
Kevin H. Knuthz, University at Albany (SUNY), NY, USA
John Skillingx, Maximum Entropy Data Consultants Ltd, Kenmare, Ireland
Just to summarize, the AND & OR rules of probability theory does not describe the AND & OR rules of particle experiments, so they had to develope this "crazy new probability theory"