Let $X$ be a connected topologoical space. Is it true that the countable product $X^\omega$ of $X$ with itself (under the product topology) need not be connected? I have heard that setting $X = \mathbb R$ gives an example of this phenomenon. If so, how can I prove that $\mathbb R^\omega$ is not connected? Do we get different results if $X^\omega$ instead has the box topology?
Infinite product of connected spaces may not be connected?
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The first part of your question - about connectedness of $\mathbb R^\omega$ with the usual product topology - has already been answered.
To show that box product $\mathbb R^\omega$ is not connected we only need find a clopen subset $U$ of this topological space (different from $\emptyset$ and the whole space). Here are two examples of such sets:
$U=$ set of all sequences, that converge to $0$; as suggested by Henning's comment, see also here here. Indeed, if $x_n\to 0$ then $V=\prod(x_n-1/2^n,x_n+1/2^n)$ is a neighborhood of $x$ such that $V\subseteq U$, therefore $U$ is open. Similar argument shows that the complement of $U$ is open in the box topology.
$U=$ set of all sequences that are bounded; see e.g. Example 10.16 here. The argument is similar, here we can even use open intervals of the same length on each coordinate.
Maybe this should have been a comment, but since I don't have enough reputation points, here it is.
On this webpage, you will find a proof that the product of connected spaces is connected (using the product topology). In case of another broken link in the future, the following summary (copied from here) could be useful: