Assume that the empty set $X_0$ exists. Assume furthermore that I can form power-sets, so that I can form $X_1:=2^{X_0}$, $X_2:=2^{X_1}$, etc.. Cantor's diagonalization argument (which should not require the Axiom of Infinity) will show that $|X_m|<|X_{m+1}|$, and in particular all of these sets are distinct. Thus, I have an infinite collection of sets. $$X_0,X_1,X_2,\ldots $$
Now, certainly, if I list a collection of sets for you, I should be able to form the set of all things in that list, no? How could one reasonably object that simply putting braces around things which are sets is not itself a set: $$\{ X_0,X_1,X_2,\ldots \}$$ But, sure enough, this does not constitute a proof that the above is a set (with the usual axioms of ZF set theory (without the Axiom of Infinity itself of course)). In fact, one cannot prove that any infinite set exists: the hereditarily-finite sets constitute a model of ZF without Infinity.
This bothers me quite a bit for the following reason. I view the axioms of set theory as a formalization of our intuitive notion of naive set theory, and as such, naive constructions which do not result in paradoxes should be able to be formalized in any 'reasonable' axiomatization. I realize this is subjective, but I suspect one would be hard-pressed to find a mathematician that seriously believed that the above construction is not 'valid', and as such, IMHO, a 'good' set of axioms would have the property that you could turn the above naive argument into a proof.
This thus yields the question:
Are there axioms for set theory which allow one to prove the existence of an infinite set without simply putting one in 'by hand'?
UPDATE: For what it's worth, some of the comments and answers eventually had me stumble upon Tarski-Grothendieck Set Theory, which implies the Axiom of Infinity. In some sense I suppose this technically constitutes an answer to the question, but still isn't as satisfying as one might like.
Not all "collections" of sets can be sets (see e.g. Russell's paradox). If you want to be able to refer to arbitrary collections, you need a more inclusive concept such as "classes"; classes that aren't sets are called proper classes. The axiom of infinity says not only that there are infinitely many sets, but that there are sets with infinitely many elements. Your $\left\{ X_k|k\ge 0\right\}$ could be a proper class, for all we know without the axiom of infinity.