Is it possible to build the sequence that has all rationals as limit points?
A limit point of a sequence $(x_n)$ is a point $x$ such that each neighborhood $(x-\varepsilon,x+\varepsilon)$ contains $x_n$ for infinitely many $n$'s. Equivalently, $x$ is a limit point if and only there is a subsequence $(x_{n_k})$ which converges to $x$.
Thank you.
If you want the set of limit points to be exactly $\mathbb{Q}$, the answer is that no such sequence exists:
The set of limit points of a sequence of real numbers is necessarily closed.
To see this, suppose that $s$ is a point in the closure of the limit set of $\{a_n\}$. Then for every $\epsilon\gt 0$ there exists a limit point $\ell$ of the sequence such that $|s-\ell|\lt\epsilon$.
For each natural number $n$, let $\ell_n$ be a limit point such that $|s-\ell_n|\lt 2^{-n-1}$. Now define a subsequence of $a_n$ recursively as follows:
Let $n_1$ be an index such that $|a_{n_1}-\ell_1|\lt 2^{-2}$; let $n_2$ be an index greater than $n_1$ such that $|a_{n_2}-\ell_2|\lt 2^{-3}$. Continue this way; assume that we have defined $n_1\lt n_2\lt \cdots \lt n_k$ such that $|a_{n_j}-\ell_j|\lt 2^{-j-1}$. Define $n_{k+1}$ to be an index greater than $n_k$ such that $|a_{n_{k+1}} - \ell_{k+1}|\lt 2^{-k-2}$.
These choices can be made, since $\ell_j$ is a limit point of $\{a_n\}$, so there is a subsequence converging to $\ell_j$, hence for every $N$ and every $\epsilon\gt 0$ there exists $k\geq N$ such that $|a_k-\ell_j|\lt \epsilon$.
Thus, we have defined a subsequence of $\{a_n\}$ recursively; now note that $$|s-a_{n_k}| \leq |s-\ell_k|+|\ell_k-a_{n_k}| \lt 2^{-k-1}+2^{-k-1} = 2^{-k}.$$ Thus, $a_{n_k}$ converges to $s$, so $s$ is also a limit point of $\{a_n\}$. Thus, the set of limit points of $\{a_n\}$ is closed. In particular, no sequence can have $\mathbb{Q}$ as its set of limit points.
However, if you want the sequence to include $\mathbb{Q}$ among its limit points (and therefore to have $\mathbb{R}$ (and also $\infty$ and $-\infty$)) as its set of limit points, then this is possible. Alexander Thumm has posted an answer while I was writing this, so I don't need to give a construction.