My favorite counter-example is given in the short paper, "Almost Commuting Unitaries," by R. Exel and T. Loring.

Here is a little background.  Two $n \times n$ matrices $A$ and $B$ are said to be "almost-commuting" if there commutator, $[A, B]$, is small in some matrix norm.  In the paper, the authors exhibit a family of unitary matrices, $U_n$ and $V_n$ that "almost-commute" in the sense that given $\epsilon > 0$ there exists an $N \in \mathbb{N}$ with $|| [U_n, V_n] || < \epsilon$ for all $n \geq N$, yet for any commuting $n \times n$ matrices, $X, Y$ $(XY = YX)$ there exists an absolute constant $C > 0$ such that $\max(||X - U_n||, ||Y - V_n||) > C > 0$.  This was one of the first counter-examples in a research paper that I understood because the authors method of proof is very elementary.  The most technical fact used is that the winding number of a closed curve around the origin is a homotopy invariant.