Sergeib's question asks about vector spaces without a natural basis.
Actually, I would claim (apparently in accord with many comments and answers to Sergeib's question ) that this is the default situation and that it is a rare event if a naturally occurring vector space does have a natural basis or even if it has any basis that can be described explicitly: the notorious $\mathbb Q \; -$ vector space $\mathbb R$ being the foremost example of this impossibility of exhibiting an explicit basis . Of course tautological examples like polynomial rings don't contradict this thesis, since they are defined as free vector spaces on some set!
In fact, the only example I can see without thinking twice of a natural vector space with a big natural non-tautological basis is the rational function field $k(X)$ seen as a $k$ - vector space .
Namely, consider a field $k$ and the set of monic polynomials $f_i(X) \; (i \in I)$ irreducible over $k$. Then $k(X)$ has the following $k$ - basis:
the mononomials $X^k (k\in \mathbb N) $ and the rational fractions $\frac{X^m}{f_i(X)^s}$ (with $i\in I,\; s>0$ and $ m< deg f_i $ )
In particular this natural basis is non denumerable if $k$ is non denumerable..
Question Which other vector spaces do you know for which some (preferably big) explicit basis can be given, but which are not clearly constructed as free vector spaces over a set?