An example that came up in my measure theory class today:

The harmonic series $\sum_{n=1}^\infty \frac{1}{n}$ diverges, because otherwise the functions $f_n := \frac{1}{n} 1_{[0,n]}$ would be dominated by an absolutely integrable function.  But $$\int_{\bf R} \lim_{n \to \infty} f_n(x)\ dx = 0 \neq 1 = \lim_{n \to \infty} \int_{\bf R} f_n(x)\ dx,$$ contradicting the dominated convergence theorem.