Let $p\neq \infty$ and let $\Omega\subseteq \mathbb{R}^N$ be a regular domain (a bounded open set with $C^1$ boundary). I want to prove that
If $\{u_n\}$ weakly converges in $W^{1,p}(\Omega)$ then it converges in $L^p(\Omega)$.
My attempt
By definition if $\{u_n\}$ weakly converges in $W^{1,p}(\Omega)$ then it weakly converges in $L^p(\Omega)$ too and this implies (by Banach-Steinhaus theorem) that $\{u_n\}$ is bounded in $L^p(\Omega)$. The same reasoning applies to the gradient of $u$ so $\{u_n\}$ is bounded in $W^{1,p}(\Omega)$.
By Rellich Kondrachov theorem there exists a subsequence of $\{u_n\}$ that converges in $L^p(\Omega)$. So I basically have
$u_n\rightharpoonup u$ in $L^p(\Omega)$
$u_{n_k}\to u$ in $L^p(\Omega)$
Is this enough to establish the strong convergence? If yes why?
Secondly, I was trying to construct a counterexample if $p=\infty$, but without any success. Could you help me?
The proof is false, since the Rellich Kondrachov theorem has two different exponents: $W^{1,p}\subset\subset L^q$ for all $1\leq q<p^*$, assuming $1\leq p<n$ ($p=\infty$ is not allowed! If you want a counterexample, look at the counterexample for the Rellich Kondrachov Theorem)
To complete the proof, one only needs to know that the inclusion map in the Rellich Kondrachov Theorem is compact: $W^{1,p}\subset\subset L^q$. Therefore, weakly $W^{1,p}$ convergent sequences are mapped to strongly $L^q$ convergent sequences. This is what you wanted to prove. If you want to understand this fact about compact operators, look at this proof.