As I procrastinate studying for my Maths Exams, I want to know what are some cool examples of where math counters intuition.
My first and favorite experience of this is Gabriel's Horn that you see in intro Calc course, where the figure has finite volume but infinite surface area (I later learned of Koch's snowflake which is a 1d analog). I just remember doing out the integrals for it and thinking that it was unreal. I later heard the remark that you can fill it with paint, but you can't paint it, which blew my mind.
Also, philosophically/psychologically speaking, why does this happen? It seems that our intuition often guides us and is often correct for "finite" things, but when things become "infinite" our intuition flat-out fails.



Whether something is intuitive or counterintuitive is a very subjective matter. Lots of results are counterintuitive if you don't have the correct intuition. But here's one elementary result of my own that you may find counterintuitive.
Suppose $N$ players are to conduct a knockout tournament. Their starting positions, on the leaves of a rooted binary tree, are chosen randomly, all such assignments being equally likely. When two players are at the children of an unoccupied node, they play a game and the winner (ties are not allowed) advances to that node. The winner of the tournament is the player who reaches the root. We assume that in any game between two given players $i$ and $j$, the probability that $i$ wins is a given number $p_{ij}$, independent of past history. These probabilities are assumed to satisfy strong stochastic transitivity, which means that if $p_{ij} \ge 1/2$ then $p_{ik} \ge p_{jk}$ for all $k$, i.e. if $i$ wins against $j$ at least half the time, then $i$ does at least as well as $j$ against any other player. Thus the probabilities $p_{ij}$ generate a consistent ordering of the players by ability.
Now it seems intuitive that under these conditions, better players have a better chance of winning the tournament. Indeed, it was conjectured that this was the case. However, it is not true, as I proved: "Stronger Players Need Not Win More Knockout Tournaments", Journal of the American Statistical Association 76 (1981) 950-951: https://doi.org/10.1080/01621459.1981.10477747