I have always liked
Volterra's functionthat has a derivative that everywhere which is bounded, discontinuous, and cannot be Riemann-integrated. It depends on the Cantor sets, of course, already mentioned.
http://en.wikipedia.org/wiki/Volterra%27s_function
I think it is probably in the book
Possible reference: Bernard R. Gelbaum, John M. H. Olmsted: Counterexamples in Analysis.
See also :
http://en.wikipedia.org/wiki/CounterexampleMO:Integrability of derivatives.

