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1 [made Community Wiki]

Before reading about it, I really thought that if $f \colon [0,1] \times [0,1] \to [0,1]$ is a function with the following properties:

1. for any $x \in [0,1]$ the function $f_x\colon [0,1] \to [0,1]$ defined by $f_x(y)=f(x,y)$ is Lebesgue measurable, and also the function $f^y \colon [0,1]\to[0,1]$ defined by $f^y(x)=f(x,y)$ is Lebesgue measurable, for all $y \in [0,1]$;
2. both $\varphi(x)=\int_0^1 f_x d\mu$ and $\psi(y)=\int_0^1 f_y d\mu$ are Lebesgue measurable.

Then the two iterated integrals $$\int_0^1\varphi(x)dx \mbox{ and } \int_0^1\psi(y)dy$$ should be equal. This is false (see Rudin's "Real and Complex Analysis", pag. 167), at least if you assume the continuum hypothesis.