To add to Keith's answer, there are various classes of number fields which are known to be not monogenic. For instance, the following paper
Marie-Nicole Gras, Non monogénéité de l'anneau des entiers des extensions cycliques de $\mathbb{Q}$ de degré premier $l\ge 5$Non monogénéité de l'anneau des entiers des extensions cycliques de $\mathbb{Q}$ de degré premier $l\ge 5$, J. Number Theory 23 (1986), 347-353
gives an elegant proof of the fact that no cyclic extension $K$ of the rationals of prime degree $l\ge 5$ is monogenic unless it happens to be the real part of a cyclotomic field.