So much of the properties of compact sets are motivated by finite sets, to the point that thinking of compact sets as topologically finite sets may yield some deeper understanding. But finite sets have the intuitive property that every subset of a finite set is also compact(also finite), why is it that compact sets give this up?
It is easy to state that they just do and provide the example $I=(0,1)$ and $K=[0,1]$ as an example, but the problem with that is it really only helps illuminate how compact sets work in the euclidean spaces. It isn't generally true in all spaces that open sets aren't compact, or that closed and bounded sets are compact. So there is a problem generalizing the ideas.
The heart of my question is: Given a subset $E$ of a compact set $K$ why isn't it compact?
Simple Answer: Because there is an open cover of $E$ which has no finite subcover
The deeper question: Why?
One way to think of it is that compactness means that sequences (more generally, nets) cannot "run away". There are two types of "running away":
If I have a compact space $X$, and I remove a point, $X-\{p\}$ may suddenly permit the second type of "running away".
At first it seemed awkward to me to phrase these things in terms of sequences and nets, because sequences and nets are "discrete" objects describing a continuous thing. But one can always phrase everything in terms of nets/filters of open sets, not of points. That can make it seem a bit more natural.
In any case, the basic point of a compact set is that it does not allow you to play a certain kind of game with infinity.
*For example, a uniform space is compact iff totally bounded and Cauchy complete, which are exactly analogous to conditions 1 and 2 above.