Let $G$ be a topological group acting on a space $X$. It is know that if $X$ is compact, then there exists a minimal set as follows:
Theorem (Birkhoff) If $X$ is compact and nonempty, there exists a nonempty, closed $G$-invariant subset of $X$ which is minimal with respect to these properties.
What is a nice example for a noncompact space $X$ where this goes wrong?
Edit: Sorry, I accidentally had the word "proper subset" in the theorem above, which would make it wrong.
As noted in the comments, the word "proper" should not be here : $S^1$ (or any compact group) acts on itself transitively.
Now for an example where this fails, even when removing "proper" is the following (there is probably a simpler one) :
Construct $X$ in the following way :at the first level you have a discrete $\mathbb{Z}$. To it, you attach $\mathbb{Z}$ points that behave like the infinite in the one-point compactification of $\mathbb{Z}$, i.e. a neighbourhood of such a point is this point + some cofinite set of the first $\mathbb{Z}$. The induced topology on this second $\mathbb{Z}$ is the discrete topology.
Then you add some more $\mathbb{Z}$'s on top of that.
Formally, our set is $X:=\displaystyle\bigcup_{n\in \mathbb{N}} \mathbb{Z}\times\{n\}$; and the topology is defined by induction : A neighbourhood of $(x,0)$ is any set containing it.
A neighbourhood of of $(x,n+1)$ is any set $U$ containing $(x,n+1)$ and such that there is a cofinite $A\subset \mathbb{Z}$ such that for each $a\in A$, there is a neighbourhood $U_a$ of $(a,n)$ such that $\displaystyle\bigcup_{a\in A} U_a \subset U$.
It is easily seen by induction on $m$ that $\displaystyle\bigcup_{n\geq m} \mathbb{Z}\times\{n\}$ is closed in $X$ and the induced topology makes it homeomorphic to $X$; and it is the closure of $\mathbb{Z}\times \{m\}$.
Then have $\mathbb{Z}$ act on it level by level : $n \cdot (x,m) = (n+x, m)$. This action is easily seen to be continuous by induction.
Now an invariant subset of $X$ contains whole levels, because $\mathbb{Z}$ acts transitively on each of them. So a closed invariant subset of $X$ must contain the closure of some $\mathbb{Z}\times \{n\}$, hence something of the form $\displaystyle\bigcup_{n\geq m} \mathbb{Z}\times\{n\}$, which shows that it is not minimal (since $\displaystyle\bigcup_{n\geq m+1} \mathbb{Z}\times \{n\}$ is also closed and invariant).
This space is moreover $T_1$ and locally compact. I believe with a similar spirit you can find $T_2$ locally compact spaces that work just as well; and I think you can even find some "non artificial" (whatever that means) ones