You should look at Handbook of Analysis and its Foundations by Eric Schecter. Here is an excerpt from the preface:

Students and researchers need examples; it is a basic precept of pedagogy that every abstract idea should be accompanied by one or more concrete examples. Therefore, when I began writing this book (originally a conventional analysis book), I resolved to give examples of everything. However, as I searched through the literature, I was unable to find explicit examples of several important pathological objects, which I now call intangibles:

finitely additive probabilities that are not countably additive,
elements of $(l_\infty)^*- l_1$(a customary corollary of the Hahn- Banach Theorem),
universal nets that are not eventually constant,
free ultrafilters (used very freely in nonstandard analysis!),
well orderings for R,
inequivalent complete norms on a vector space,
etc. In analysis books it has been customary to prove the existence of these and other pathological objects without constructing any explicit examples, without explaining the omission of examples, and without even mentioning that anything has been omitted. Typically, the student does not consciously notice the omission, but is left with a vague uneasiness about these unillustrated objects that are so difficult to visualize.

I could not understand the dearth of examples until I accidentally ventured beyond the traditional confines of analysis. I was surprised to learn that the examples of these mysterious objects are omitted from the literature because they must be omitted: Although the objects exist, it can also be proved that explicit constructions do not exist. That may sound paradoxical, but it merely reflects a peculiarity in our language: The customary requirements for an "explicit construction" are more stringent than the customary requirements for an "existence proof." In an existence proof we are permitted to postulate arbitrary choices, but in an explicit construction we are expected to make choices in an algorithmic fashion. (To make this observation more precise requires some definitions, which are given in 14.76 and 14.77.)

Though existence without examples has puzzled some analysts, the relevant concepts have been a part of logic for many years. The nonconstructive nature of the Axiom of Choice was controversial when set theory was born about a century ago, but our understanding and acceptance of it has gradually grown. An account of its history is given by Moore [1982]. It is now easy to observe that nonconstructive techniques are used in many of the classical existence proofs for pathological objects of analysis. It can also be shown, though less easily, that many of those existence theorems cannot be proved by other, constructive techniques. Thus, the pathological objects in question are inherently unconstructible.

The paradox of existence without examples has become a part of the logicians' folklore, which is not easily accessible to nonlogicians. Most modern books and papers on logic are written in a specialized, technical language that is unfamiliar and nonintuitive to outsiders: Symbols are used where other mathematicians are accustomed to seeing words, and distinctions are made which other mathematicians are accustomed to blurring -- e.g., the distinction between first-order and higher-order languages. Moreover, those books and papers of logic generally do not focus on the intangibles of analysis.

On the other hand, analysis books and papers invoke nonconstructive principles like magical incantations, without much accompanying explanation and -- in some cases -- without much understanding. One recent analysis book asserts that analysts would gain little from questioning the Axiom of Choice. I disagree. The present work was motivated in part by my feeling that students deserve a more "honest" explanation of some of the non-examples of analysis -- especially of some of the consequences of the Hahn- Banach Theorem. When we cannot construct an explicit example, we should say so. The student who cannot visualize some object should be reassured that no one else can visualize it either. Because examples are so important in the learning process, the lack of examples should be discussed at least briefly when that lack is first encountered; it should not be postponed until some more advanced course or ignored altogether.