I read (in Structure and Geometry of Lie Groups by Hilgert and Neeb, I think) that it is possible for a Lie group to admit a connected yet not-path-connected subgroup. Specifically it said $(\mathbb{R/Z})^2$ admits such a subgroup.
I did not manage to construct such a subgroup. Can someone help?
Obviously such a subgroup can't be closed, or even a Lie subgroup, because connected Lie groups are path-connected (as all manifolds).
The only group I know which is connected but not path-connected is the solenoid, but it is compact, so if it were a subgroup of $\mathbb{T}^2$ it would have been closed, hence a Lie subgroup and therefore path-connected, which is a contradiction.
Apparently, similar questions have been asked in MathOverflow. I will quote them here in case anyone else is interested in this.
New Answer
Here Gabriel C. Drummond-Cole gave a very nice answer: the subgroup $\{(x+\mathbb{Z}^2,\pi x+\mathbb{Z}^2)\}\cup\{(x+\frac{1}{2}+\mathbb{Z}^2,\pi x+\mathbb{Z}^2)\}$ (for $x\in\mathbb{R}$). A direct computation shows this is a subgroup (using the fact $1/2+1/2=0$ in the torus). It has two path connected components: clearly $\{(x+\mathbb{Z}^2,\pi x+\mathbb{Z}^2)\}$ and $\{(x+\frac{1}{2}+\mathbb{Z}^2,\pi x+\mathbb{Z}^2)\}$ are path-connected (as the images of $\{(x,\pi x\}$ and $\{(x+\frac{1}{2},\pi x\}$), and there is no path connecting $(0+\mathbb{Z}^2,0+\mathbb{Z}^2)$ + $(\frac{1}{2}+\mathbb{Z}^2,0+\mathbb{Z}^2)$ since such a path will lift to a path from $(0,0)$ to $(\frac{1}{2},0)$ which lies in the preimage of this subgroup in $\mathbb{R}^2$, i.e. in $\{(x,\pi x)\}\cup\{(x+\frac{1}{2},\pi x\} + \mathbb{Z}^2\subseteq\mathbb{R}^2$. Obviously in this set $(0,0)$ and $(\frac{1}{2},0)$ are in different path-connected components, so this is a contradiction. So our subgroup is not path-connected. However, it is connected: since it has precisely two path-component, we just need to show neither of them is clopen. It's enough to show neither is closed because there are just finitely many (two) of them. But each of them is known to be dense in $(\mathbb{R}/\mathbb{Z})^2$, so you can approach a point of one from points in the other, so they are not closed.
This is a very nice and simple answer.
Old Answer
This question asks in general about subgroups which are not Lie subgroups, but for nontrivial reasons (i.e. not just because they must have uncountably many connected components). Essentially only Claudio Gorodski answered:
The paper by Jones solves the problem. He proves (Theorem 5, page 118) there is a function $f:\mathbb{R}\to\mathbb{R}$ which is additive (i.e. $f(x+y)=f(x)+f(y)$ for all $x,y\in\mathbb{R}$) and which satisfies the following:
To be precise, he constructs an additive function $f:\mathbb{R}\to\mathbb{R}$ which satisfies $1$ and $2$, and asserts property $3$ follows. For this he referred to two articles in German, unfortunately.
However, if we believe there is such a function $f$, then its graph is a subgroup of $\mathbb{R}^2$ (by additivity of $f$) which is connected and not path-connected, and hence this solves my question.
I am not particularly satisfied with this answer: I was hoping for a more pleasant (and more complete) argument. Maybe there isn't such.
In any case, there was a second question in MathOverflow, inspired by the first. It asks whether there are connected non-path-connected subgroups of $\mathbb{R}^2$ by explicitly asking for a construction of $f$ as above.
Martin M. W. gave the following answer, which maybe is simpler than Jones's proof (although it also omits the explanation why $3$ is true):
There was a second answer, by Andrew Clifford, which linked to two papers: one by Thomas and one by Maehara.
Maehara again constructs an additive function $f:\mathbb{R}\to\mathbb{R}$ satisfying $1$ and $2$ but doesn't prove $3$.
Thomas supposedly proves exactly what we (I?) want: a Lie group of dimension greater than $1$ always admits a connected subgroup which is not a Lie subgroup (and hence isn't path connected, since connected Lie subgroups are path-connected). However, Andrew Clifford (who gave the link to this paper) also wrote "Math Reviews says that there is an error in it, but I think the theorem still holds for Abelian groups." Read at your own risk.
Briefly, the most satisfying answer is the paper by Thomas, if indeed it is true for Abelian groups. If not, I am still hoping to find a cleaner argument. After all, this was supposed to be an exercise.