Let's call a real number explicit if it can be expressed starting from integers by using arithmetic operations, radicals, exponents, logarithms, trigonometric and inverse trigonometric functions. For complex numbers $i$ is allowed in addition to integers, and we get what Chow calls EL numbers. Rational numbers, $e=\exp(1)$ and $\pi=\cos^{-1}(-1)$ are explicit, some algebraic numbers and Euler's $\gamma$ probably are not. If a function has an elementary anti-derivative then a definite integral of it with explicit limits is also explicit. The converse is not true, $\int x^{-2}e^{-\frac1{x^2}}dx$ is not elementary, but $\int_0^1 x^{-2}e^{-\frac1{x^2}}dx=\frac{\sqrt{\pi}}{2}$ is explicit (this is the Gaussian integral up to substitution).
There is a theory of Liouville that allows proving that some anti-derivatives are not elementary, is there something similar for definite integrals? There was a long standing unanswered question on MSE about computing $\int_0^{\frac{\pi}{2}}\frac1{(1+x^2)(1+\tan x)}dx$, and the consensus was that it's not expressible in elementary terms. How does one prove something like that?
EDIT: Since there doesn't appear to be a general theory any non-trivial example of a proof for a particular case would be interesting. Also, explicit or EL numbers above are only an example, proving non-expressibility in some other reasonable terms would also be interesting.
Here are a couple of excerpts that might be of use to you or others in tracking down more information about this topic:
Joseph Fels Ritt (1893-1951), Integration in Finite Terms. Liouville's Theory of Elementary Methods, Columbia University Press, 1948, ix + 100 pages.
from p. 60:
Note: Ritt says nothing else about this classification of numbers in his book.
Dmitry Dmitrievich Morduhai-Boltovskoi (1875-1952), On hypertranscendental functions and hypertranscendental numbers (Russian), Doklady Akademii Nauk SSSR [= Comptes Rendus de l'Académie des Sciences de l'URSS] (N.S.) 64 (1949), 21-24.
Mathematical Reviews 10,432f, by Joseph Fels Ritt:
Note: For an idea of what is meant by an algebraic differential equation, see my answer (and my additional comments) to the math StackExchange question Expanded concept of elementary function?.
(ADDED NEXT DAY) The following survey paper seems to be especially relevant for what you're interested in:
Periods by M. Kontsevich and D. Zagier (May 2001)
A google search for "periods" {AND} "Kontsevich" {AND} "Zagier" (which, among other things, will bring up any google-findable papers that cite Kontsevich/Zagier's survey paper) seems to lead to a lot of relevant material, although my background in this area is not sufficient to allow me to easily offer suggestions among the google-hits.