Experiments contradicting the expected utility model
this paper http://else.econ.ucl.ac.uk/papers/uploaded/243.pdf (Choi 2007) has a nice state of the art experiment that deals with rationality and expected utility is a special case of it. In general only 17% of consumers are compatible with rationality ergo the remaining part cannot be expected utility maximizers.  Quah has a nice paper on the revealed preference theory of expected utility (among other models), he uses Choi dataset to test expected utility hypothesis that is going to be rejected more times than rationality https://ideas.repec.org/p/lec/leecon/13-24.html