Cher Michel, these rings are uncommon.
Over a local ring ALL projective modules are free : this is a celebrated theorem due to Kaplansky.
If $R$ is commutative noetherian and $Spec(R)$ is connected, every NON-finitely generated projective module is free. This is due to Bass in his article "Big projective modules are free" which you can download for free here
And now for the good news: the rings you are after are uncommon but they exist. Bass in the article just quoted shows that the ring $R=\mathcal C([0,1])$ of continuous functions on the unit interval has all its finitely generated projective modules free. Nevertheless the ideal consisting of functions vanishing in a neighbourhood of zero (depending on the function) is projective, not finitely generated and not free. Bass attributes the result to Kaplansky.
