Is there any example of a non-measurable set whose proof of existence doesn't appeal to the Axiom of choice?
What would it imply if there was such an example?
EDIT: For instance, maybe this will help understand the kind of example I had in mind, it is known that an important feature to determine that the AC is needed in the Banach-Tarski case is the non-transitivity of rotations on Euclidean space, one might find an example of a transitive group for some given space keeping the rest equal and make the AC unnecessary?
I guess then it might be said that this transitivity will be in this particular case equivalent to the AC or some amount of it, but I guess that it would be important to show this if it hadn't been realized before.
Yes.
Or more precisely,
The set $S$ could then be proven non-measurable by assuming a suitable choice principle. So the role of choice is not in the existence of the set $S$, but in the proof it is nonmeasurable.
The proof of this theorem involves the constructible universe. In particular, one can explicitly define in ZF a well-ordering on the class of constructible sets.
One can construct $S$ by carrying out one's favorite construction of a non-measurable set inside the constructible universe, using the aforementioned explicitly constructible well-ordering instead of invoking the well-ordering theorem.
One cannot prove in ZF that $S$ is actually a non-measurable set. However, you can do so if you further assume the axiom of constructibility.