So originally I was asked to prove that the set of all points of continuity for $f:\mathbb{R}\rightarrow\mathbb{R}$ is measurable (all of my analysis so far is in $\mathbb{R}^d$). I came up this solution:
For $f$ above, let $C=\{\,\, x \in \mathbb{R}\,\, |\,\, f \,\,\text{is continuous at} \,\,x \,\,\}$. For all $a\in C$, let $B_{1/n}(a)$ be the open ball centered at $a$ of radius $1/n$. Define $O_n = \bigcup_{a\in C}B_{1/n}(a)$. Since this is a union of open sets it is open (regardless of countability of the union). Furthermore, since it is open it is measurable. Then $C=\bigcap_{n=1}^\infty O_n$, and this is a $G_\delta$ set (countable intersection of open/measurable sets and hence measurable).
So then $C$ is measurable. But it was pointed out to me that based on what I have here, $C$ could be replaced with any set, including a non-measurable set. So I'm curious as to what goes wrong here.