Are infinite dimensional Lie algebras related to unique Lie groups? For every finite dimensional Lie algebra $g$, there is a unique simply-connected Lie group $G$ whose Lie algebra is $g$. Is this true in the infinite dimensional case? 
 A: No. Van Est and Korthagen (1964) gave perhaps the first example of what they called a "non-enlargible Lie algebra", having no corresponding Lie group.
Needless to say, this kind of question largely depends on the precise definitions adopted for infinite-dimensional Lie groups and Lie algebras. A canonical reference is Milnor's Remarks on infinite-dimensional Lie groups, which can be found on the internet and contains also some positive results:

The author outlines a theory of Lie groups modelled on arbitrary complete locally convex topological vector spaces (CLCTVSs).This category includes everything one would want to call a Lie group, with possibly a few exceptions such as diffeomorphism groups of noncompact manifolds. (...)
Every Lie group as defined here has an associated (topological) Lie algebra. For finite-dimensional groups the converse is true, but this is not so in general (even for Banach Lie algebras). The passage from Lie algebra to Lie group depends on the notion of regularity. (...) All known Lie groups are regular. A connected, simply connected, regular Lie group is uniquely determined (up to isomorphism) by its Lie algebra.

For a more recent survey I would recommend Neeb's Towards a Lie theory of locally convex groups.
