Am reading Kreyszig's proof of the Hahn-Banach Theorem on page 214:
Let $X$ be a real vector space and $p$ a sublinear functional on $X$. Let $f$ be a linear functional defined on a subspace $Z$ of $X$ which satisfies
$$f(x)\leq p(x) \hspace{1cm} \text{for all } x\in Z$$
Then $f$ has a linear extension $\tilde{f}$ on $X$ satisfying
$$\tilde{f}(x)\leq p(x) \hspace{1cm} \text{for all } x\in X$$
The proof reveals that, given $y_1\in X\setminus Z$, it is possible to extend $f$ to the subspace spanned by $Z\cup \{y_1\}$ while satisfying the required majorization on this subspace. At the end of the proof, Kreyszig explains that we can possibly avoid using Zorn's lemma with the following argument:
First extend $f$ to $Z_1=span \{ Z\cup \{y_1\}\}$ as above and call the extension $\tilde{f}_1$. Inductively suppose $\tilde{f}_n$ is a linear extension of $\tilde{f}_{n-1}$ satisfying the required majorization on its domain $Z_n$. If $X=Z_n$ then let $\tilde{f}_{n+1}:=\tilde{f}_n$. Otherwise let $y_{n+1}\in X\setminus Z_{n}$ and let $\tilde{f}_{n+1}$ be the extension of $\tilde{f}_n$ to $Z_{n+1}=span \{ Z_n\cup \{y_{n+1}\}\}$ (i.e. the extension mentionned above and it satisfies the required majorization on $Z_{n+1}$). By the principle of recursive definition $\tilde{f}_n$ is defined for all $n\geq 1$. Now let $\tilde{f}:=\cup_{n=1}^\infty \tilde{f}_n$. We check that $\tilde{f}$ is a well-defined linear functional on the subspace $Z_{\infty}:=\cup_{n=1}^\infty Z_n$ and that it satisfies the required majoriation on $Z_{\infty}$.
If it so happens that $Z_{\infty}=X$ then we are done. But how can we know ex-ante whether this procedure will be sufficient? For example, if $X\setminus Z$ is finite then we must have $Z_{\infty}=X$, for otherwise $\{y_n\}$ would be an infinite subset of $X\setminus Z$.
Are there other cases?