Let $\lambda$ be the Lebesgue measure on $(\mathbb R, \mathcal M_{\lambda^*})$ and $f, f_n: \mathbb R \rightarrow \mathbb R$.
I know that the following statement is not true in general:
If $f_n, f$ are integrable and $f_n(x) \rightarrow f(x)$ pointwise a.e., then: $\int f_n d \lambda \rightarrow \int f d \lambda$.
But is there any example which really shows that the statement is not true?
Try $f_n(x) = n\chi_{(0,\frac{1}{n})}(x)$ with the usual Lebesgue measure.