Every manifold that I ever met in a differential geometry class was a homogeneous space: spheres, tori, Grassmannians, flag manifolds, Stiefel manifolds, etc. What is an example of a connected smooth manifold which is not a homogeneous space of any Lie group?

The only candidates for examples I can come up with are two-dimensional compact surfaces of genus at least two. They don't seem to be obviously homogeneous, but I don't know how to prove that they are not. And if there are two-dimensional examples then there should be tons of higher-dimensional ones.

The question can be trivially rephrased by asking for a manifold which does not carry a transitive action of a Lie group. Of course, the diffeomorphism group of a connected manifold acts transitively, but this is an infinite-dimensional group and so doesn't count as a Lie group for my purposes.

Orientable examples would be nice, but nonorientable would be ok too. I am also interested in finding an example of a compact manifold which is not a homogeneous space of any compact Lie group.