I wonder if there are any examples of semisimple Lie groups that couldn't correspond to any algebraic group, or actually every semisimple Lie group is algebraic?
Example of a semisimple Lie group which is not an algebraic group?
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In plainer terms:
Let $p\colon \tilde G\to G=SL(2,\mathbb{R})$ be a cover map. Consider $\phi\colon \tilde G \to H$, a morphism of Lie groups, where $H$ is a complex Lie group. The map $d \phi \colon \tilde{\frak{g}} \to \frak{h}$ is a morphism of real Lie algebras. Extend it a morphism of complex Lie algebras $\tilde{\frak{g}}_{\mathbb{C}}=sl(2,\mathbb{C})\to \frak{h}$. Now, the group $SL(2,\mathbb{C})$ is simply connected, so there exists $\psi\colon SL(2,\mathbb{C})\to H$ with the given map between Lie algebras. We conclude $\phi = \psi \circ p$, that is, the morphism $\phi$ factors through $G= SL(2,\mathbb{R})$. As a conclusion, there does not exists an injective morphism of Lie groups $\tilde G\to GL(n, \mathbb{C})$ (or $GL(n, \mathbb{R})$).
So: $G\subset G_{\mathbb{C}}$ simply connected, $\tilde G\to G$ cover, then any map from $\tilde G$ to a complex Lie group factors through $G$.
The smallest example is the following. $SL_2(\mathbb{R})$ is a semisimple Lie group which has the same representation theory as its Lie algebra $\mathfrak{sl}_2(\mathbb{R})$. On the other hand, its maximal compact is $SO(2)$ so its fundamental group is $\mathbb{Z}$, and so it has $n$-fold covers for any $n$; each of these groups has the same representation theory as $\mathfrak{sl}_2(\mathbb{R})$ also, which means all of their finite-dimensional representations factor through the quotient to $SL_2(\mathbb{R})$.
This means none of these groups admit faithful finite-dimensional representations, so none of them can be the real points of a linear algebraic group. The $2$-fold cover is a metaplectic group as David Loeffler links to in the comments.
In the positive direction, for compact Lie groups see this MO answer.
Edit, 9/1/20: This is maybe a little terse so I'll be more explicit what facts I'm using about Lie groups and coverings and so forth. Probably I don't need the full strength of some of what I say below but it's useful context and stuff worth knowing anyway.