Let's define a real number as computable iff there's an algorithm that can generate a sequence with the number as its limit (turing machine or any of the equivalent programming models).
Not all real numbers fall into this category. In particular, the number of algorithms is countable.
My first question is how that concept is called in the research that probably exists on it.
The second question would be regarding the remaining real numbers. Is there an example for any such incomputable number that is well-defined?
So what I'm interested in is not a proof for existence - that one is trivial. I'm asking for a concrete example: To pick one of those numbers by defining it.
My feeling is that this is possible.
There seems to be a lot of confusion in the other answers and comments thereto. I'll try to make things more clear. (In particular, @Holowitz's and @Nico's answers are incorrect, as I showed in the comments below @Nico's answer.)
First note that a real number can be identified with a set of natural numbers by declaring that the binary expansion of the real corresponds to the characteristic sequence set of natural numbers. (Of course, some reals have non-unique binary expansion, so this identification doesn't always make sense, but any such real gives rise to a computable set no matter which binary expansion is taken, so insofar as we're concerned, this is irrelevant.)
Now, the definition of computable you gave is what's known as limit computable or $\Delta_{2}^{0}$, though since the notation $\Delta_{2}^{0}$ is a priori reserved for sets defined by formulas that are both $\Sigma_{2}^{0}$ and $\Pi^{0}_{2}$ in the arithmetical hierarchy, it must be proven that the two notions coincide. This is exactly Schoenfield's limit lemma together with Post's theorem.
Regarding your request for a "concrete" example of a real that is not $\Delta^{0}_{2}$ (i.e. one that can be "picked by defining it"), the number--let's call it $\alpha$--given in the paper cited in the answer you accepted is defined only relative to some fixed (incomputable!) enumeration of all $\Delta^{0}_{2}$ reals; different enumerations give rise to different $\alpha$'s. However, such an enumeration is inherently not $\Delta^{0}_{2}$ (it can be $\Delta^{0}_{3}$ as @Carl points out in the comments to @Mahmud's answer) in the arithmetical hierarchy, so I do think that it is an acceptable example (contrary to my comments) . Given that, though, it's evident that a much better (i.e. less complex) real can be given: take any strictly $\Sigma^{0}_{2}$ or $\Pi^{0}_{2}$ real. For example, the set of indices of total computable functions $\mathrm{Tot}:=\{e:\forall n \exists s \, [\varphi_{e,s}(n)\downarrow] \}$ is a well-known $\Pi^{0}_{2}$-complete real.
The moral of the story is that there are many arithmetically definable reals that are not "computable" in the sense you defined; just take any arithmetical real that is not $\Delta^{0}_{2}$.