Let $V$ be a vector space. This answer gives a nice explanation of why the "dual dual space" of $V$, i.e., $(V^*)^*$, is isomorphic to $V$ if $\dim V<\infty.$
- Can someone give an example where $\dim V=\infty$ and $(V^*)^*\ncong V$? I'm having a hard time imagining this.
- Additionally, must $V$ always be at least isomorphic to a subspace of $(V^*)^*$? It seems that the answer must be yes, since we can always define $\xi_{v∈ V}:V^*\to\mathbb R, \omega\mapsto\xi_v(\omega):=\omega(v).$
Since you use the tag "functional analysis", I'll assume that you talk about continuous duals.
Let $V=c_0$, that is the space of complex sequences that converge to zero. It is well-known (and fairly easy) to show that $V^*=\ell^1(\mathbb N)$, and $V^{**}=\ell^\infty(\mathbb N)$.
In both cases the duality is $$\langle x,y\rangle=\sum_nx_ny_n.$$
The space $c_0$ is norm-separable, while $\ell^\infty(\mathbb N)$ isn't.
As for your second question, yes, you always have a canonical injection $V\to V^{**}$.
For completion's sake, the answer is similar if we consider the purely algebraic dual. Take $V=\mathbb R[x]$, the space of real polynomials. It has a countable basis, namely $\{x^n\}_{n\in\mathbb N\cup\{0\}}$. For each $t\in\mathbb R$ consider $\phi_t:\mathbb R[x]\to\mathbb R$ given by $\phi_t(p)=p(t)$. The uncountable set $\{\phi_t\}$ is linearly independent, so $\dim V^*>\dim V$. Then $\dim V^{**}\geq\dim V^*>\dim V$ and they cannot be isomorphic (the fact that the dimension of the dual is at least that of the space follows from considering dual basis).