Consider the sum following sum:
$$ I=\sum_{i = 0}^{\infty}\frac{(-1)^{i}}{(2i+1)^{2}(2i+2)}. $$
Clearly this can be transformed into a triple integral:
$$ I=\int_{0}^{1}\int_{0}^{1}\int_{0}^{1} \frac{x}{1+x^{2}y^{2}z^{2}}dxdydz.$$
However, because of symmetry I can rewrite the integral as follows:
$$ I=\int_{0}^{1}\int_{0}^{1}\int_{0}^{1} \frac{y}{1+x^{2}y^{2}z^{2}}dxdydz=\int_{0}^{1}\int_{0}^{1}\int_{0}^{1} \frac{z}{1+x^{2}y^{2}z^{2}}dxdydz.$$
Now apply the following substitution to each of the integrals:
$$ x = \frac{\sin(u)}{\cos(v)},\space y = \frac{\sin(v)}{\cos(w)},\space z = \frac{\sin(w)}{\cos(u)} $$
and you will find out that suddenly, those integrals are not mutually equal. Why is that so? The same substitution can be used to evaluate, for instance, the alternating sum of the reciprocals of odd cubes, in which case it yields a correct result.
$$ \sum_{i = 0}^{\infty}\frac{(-1)^{i}}{(2i+1)^{3}}=\int_{0}^{1}\int_{0}^{1}\int_{0}^{1} \frac{1}{1+x^{2}y^{2}z^{2}}dxdydz = \frac{\pi^{3}}{32}. $$
The conditions are that $u$, $v$ and $w$ are all positive, while $u+v$, $v+w$ and $w+u$ are all less than $\pi/2$, so the correct way of integrating is $$ \int_{u=0}^{\pi/2} \int_{v=0}^{\pi/2-u} \int_{w=0}^{\min(\pi/2-u,\pi/2-v)} \cdots $$