I was also going to recommend the alex story. However I'd also recommend the clever hans story (just google clever hans and you'll get some version of it.)
As a behaviorist the question of animal intelligence is one that I have done quite a bit of research on. In fact I was just discussing it with a professor at the UofM yesterday - the meeting was to discuss future research opportunities, but you cant put two behaviorists in a room without the conversation wandering a bit.
There has previously been this bias or egotism under which humans thought we were the only one with "consciousness". Finally people have realized this is crap: from a scientific standpoint one cannot even define consciousness, so to state that it exists in one group and not in another is absolute foolishness.
There is abundant research on animal intelligence out there. If you want a good start on the subject, in addition to Irene Pepperburg, I'd also recommend Vicki Hearne's book Adams Task. She goes through many traditional stories of animal learning and intelligence in a very fun and readable way.
A couple points to make you think:
Psychologists have often used a mirror to test what they call self-awareness. They put a red dot on a babies forehead then they show them a mirror, if they touch their own forehead they are said to be self-aware. This test has been used on animals to show that animals are NOT self-aware; however this is horribly unscientific, it is not a good test. Really it is simply testing whether they know what a mirror is. Using vision as a primary sense is limited to birds and primates, for the rest of the animal world scent is dominant. There was another experiment where small plastic cubes were each rubbed on one rat to pick up their body odor. The rats were then tested, they could all identify their own cube. If we were to rub the cube on the human researchers then ask them which one was theirs they would fail miserably. Would this prove that humans are not self aware?
Different organisms develop different abilities. Humans have vision, particularly face recognition. A small part of our brain is devoted to face recognition, we can all recognize hundreds if not thousands of people by their face (think celebrities, etc.) Interestingly there is less difference between two faces than there is between two sunflowers within a field of sunflowers. Given a photograph of a single flower, if you were told to go find that specific one in a field how long would it take? Could you even do it at all? Given a photo of a person, and a room full of people however, THAT you could do.
The closest correlate to our face-recognition ability in animals is salmons' ability to go back to their natal stream several years after leaving. Scientists are still trying to figure out how they do it. It's not as simple as the "smell" of the stream, over three years that would change a lot: pollution, things falling in, things getting pulled out... Yet they have the ability to choose their stream out of countless choices.
Now, to bring this full circle: while the story you quoted was great I offer a bit of caution. Do not let anecdotal stories serve as "proof" of animal intelligence. To play devils advocate, in looking at that story there could have just been something in the tree that scared the bird out and the mans arm was the next best place. There is an abundance of solid evidence for animal intelligence, so when a sceptic asks about it provide the solid evidence rather than the anecdotal stories.
That is why I recommended the clever hans story. It can show how easily people can be mislead into the right conclusion by the wrong evidence. The problem is when they see that the evidence is faulty they will reject the conclusion.
If you don't find it anywhere else here is a condensed version of the clever hans story:
http://web.stcloudstate.edu/gcmertens/critical_analysis/CriticalAnalysisCleveHans.pdf
