It is well known that compactness implies pseudocompactness; this follows from the Heine–Borel theorem. I know that the converse does not hold, but what is a counterexample?
(A pseudocompact space is a topological space $S = \langle X,{\mathfrak I}\rangle$ such that every continuous function $f:S\to\Bbb R$ has bounded range.)
A favorite example (and counterexample) to many things is the first uncountable ordinal $\omega_1$ in its order topology: $[0,\omega_1)$. It is pseudo-compact but not compact.