Let $\mathbb{K}$ a field with a discrete non archimedean absolute value and $A$ its ring of integers. Then $A$ is Noetherian, every ideal is generated by a power of $\pi\in A$, a uniformizer, and its unique maximal ideal is $\mathfrak{M}=\pi A$.
For instance, $\mathbb{Q}_p$ is such a field. Its residue field is $A/\mathfrak{M}\cong\mathbb{Z}/p\mathbb{Z}=\mathbb{F}_p$, the finite field of $p$ elements.
Is there any field $\mathbb{K}$ whose residue field is not finite?
Yes, you can form the maximal unramified extension of $\Bbb Q_p$. Its value group is the same as that of $\Bbb Q_p$, that is, $p$ is still a generator of the maximal ideal. If you want an “explicit” construction, just adjoin the $m$-th roots of unity for all $m$ prime to $p$. Slightly more efficiently, adjoin all $(p^r-1)$-th roots of unity. You see that the residue field is an algebraic closure of $\Bbb F_p$.
More generally, any finite extension of $\Bbb F_p$ can be lifted to an unramified extension of $\Bbb Q_p$, preserving the Galois group, which will be generated by the Frobenius automorphism of the field in characteristic zero.