Actually, a Mexican jumping bean is not a bean at all.  It is actually a small, thin-shelled outer layer of a seed. 

The thing that makes these beans jump is a tiny moth larvae that lives inside the bean.  The "jumping bean" moth lays its eggs in the flower of the plant, and the eggs find their way into the seed.  The moth larvae eats the seed inside the outer layer of the seed (capsule), and then lives inside this outer layer.

As the moth larvae moves around inside this seed capsule, the bean also moves.  This moving about causes the jumping movements of the capsule, which is why people call it a "Mexican jumping bean."  These Mexican jumping beans are then sold in stores.

What people are actually buying is the shell of, what used to be a seed, with a moth inside.

At some point, the larvae turns into a moth, and will come out of the seed.

Watch and learn more about the Mexican jumping bean below: