Possible Duplicate:
Lebesgue measurable but not Borel measurable
Constructing a subset not in $\mathcal{B}(\mathbb{R})$ explicitly
if i start from the topology of $\mathbb{R}$, i.e. all open sets, and then build the closure under countable union and complement i get the so called Borel-$\sigma$-Algebra, the smallest set which contains all open sets (i.e the topology) of $\mathbb{R}$ and is a $\sigma$-algebra? do you know any sets on $\mathbb{R}$ which are not cointained in this Borel-$\sigma$-algebra?
There are $2^{2^{\aleph_0}}$ subset of $\mathbb{R}$. There are $2^{\aleph_0}$ Borel subsets. Hence there certainly exists subsets of $\mathbb{R}$ that are not Borel.
However, there are even some very nicely defined sets that are not Borel. For example, there is a Lebesgue Measureable set that is not Borel. The cantor set has measure zero and is uncountable. Hence every subset of the Cantor set is Lebesgue Measureable and by a cardinality argument, there exists one which is not Borel. Analytic sets can be defined to be continuous images of the real line. There even exists analytic sets which are not Borel.