I would like to have some examples of infinite dimensional vector spaces that help me to break my habit of thinking of $\mathbb{R}^n$ when thinking about vector spaces.

15The set of continuous functions $f:\mathbb{R} \mapsto \mathbb{R}$ is my goto infinite dimensional vector space. – FireGarden Aug 13 '13 at 16:15

5The $L^p$ spaces are infinite dimensional vector spaces. So are the bump functions and Schwartz functions. The vector space of entire functions is infinite dimensional as well. – Cameron Williams Aug 13 '13 at 16:17

1@AndrewLi Welcome to stackexchange. Good for you for wanting to edit to improve questions. But simple formatting fixes to old questions with good answers annoy some people because they move the question to the active list where they do not really belong. Better to use your time on new questions. – Ethan Bolker Sep 01 '20 at 20:41
6 Answers
 $\Bbb R[x]$, the polynomials in one variable.
 All the continuous functions from $\Bbb R$ to itself.
 All the differentiable functions from $\Bbb R$ to itself. Generally we can talk about other families of functions which are closed under addition and scalar multiplication.
 All the infinite sequences over $\Bbb R$.
And many many others.
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 The space of continuous functions of compact support on a locally compact space, say $\mathbb{R}$.
 The space of compactly supported smooth functions on $\mathbb{R}^{n}$.
 The space of square summable complex sequences, commonly known as $l_{2}$. This is the prototype of all separable Hilbert spaces.
 The space of all bounded sequences.
 The set of all linear operators on an infinite dimensional vector space.
 The space $L^{p}(X)$ where $(X, \mu)$ is a measure space.
 The set of all Schwartz functions.
These spaces have considerable more structure than just a vector space, in particular they can all be given some norm (in third case an inner product too). They all fall under the umbrella of function spaces.
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2I would be clearer if each of them had accompanying Field over which they are Vector Spaces. – pranphy Feb 14 '18 at 17:19
The two examples I like are these:
1) $\mathbb{R}[x]$, the set of polynomials in $x$ with real coefficients. This is infinite dimensional because $\{x^n:n\in\mathbb{N}\}$ is an independent set, and in fact a basis.
2) $\mathcal{C}(\mathbb{R})$, the set of continuous realvalued functions on $\mathbb{R}$. Here there is no obvious basis at all. This also has lots of interesting subspaces, some of which Hagen has mentioned.
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I think the following two examples are quite helpful:
For any field $F$,
 the set $F^{\mathbb N}$ of all sequences over $F$ and
 the set of all sequences over $F$ with finite support
are $F$vector spaces.
Note that the unit vectors form a basis of the second vector space, but not of the first.
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Think of function spaces, such as the continuous or differentiable or analytic functions on an interval.
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I'm surprised to see that no one mentioned $\mathbb{R}$ over the field $\mathbb{Q}$ as a vector space is infinite dimensional. Here is the proof.
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