What are examples of mathematical objects that are somehow 'constructed out of' a whole range of other objects but fall out of them? One example that comes to my mind is that of ordinal numbers: $\omega$ is constructed by putting together (i.e., the union of) all natural numbers $n$, but falls out of their realm, $\omega^2$ is constructed out of all ordinals $\omega+i$, where $i$ is a natural but falls out of them, etc. I guess the class of all sets is another example? It is, in a way, built of all sets yet falls out of their realm. On the other hand, natural numbers aren't like that.
Do you know of other examples, or where to look for more? (It doesn't have to be set-theoretic in nature.) How common is this phenomenon?