The existence of subsets of the real line which are not Lebesgue measurable can be argued using the Axiom of Choice. For example, define an equivalence relation on $[0, 1]$ by
$a \thicksim b$ if and only if $a - b \in \mathbb{Q}$
and let $S \subset [0, 1]$ contain exactly one representative from each class; $S$ is not Lebesgue measurable.
Now, the Axiom of Choice also gives us that every vector space has a basis, and in particular $\mathbb{R}$ has a basis over the field $\mathbb{Q}$. Can a similar (but assumedly much more involved) argument show that every such basis is a nonmeasurable set?
In Dorais, Filipów, and Natkaniec's paper "On Some Properties Of Hamel Bases and Their Applications to Marczewski Measurable Functions" (also available as a preprint here) the writers point that it is provable that there is a measurable Hamel basis.
They refer to "An Introduction to the Theory of Functional Equations and Inequalities: Cauchy's Equation and Jensen's Inequality" by Marek Kuczma. In a quick Google Books search, it seems that this is remarked as a corollary from previous chapters at the end of page 282.
In Corollary 11.4.3 (p.288) it is stated that non-measurable Hamel bases also exist, as well as a measurable one (whose measure has to be zero).