List of experiments contradicting the expected utility model I proposed this question as an example question for the Area51 proposal "Mathematical modeling". User Artem Kaznatcheev suggested that it be asked here too, which I thought was a good idea.

So I am looking for a list of experiments which cannot be accounted for by the expected utility model. By the expected utility model, I mean the model of individual preferences over vectors of uncertain events (e.g. $\Big(P(rain) = 0.4, P(sunshine) = 0.6\Big)$ and $\Big(P(rain) = 0.6, P(sunshine) = 0.4\Big)$)  which satisfies a list of axioms proposed by Von Neuman and Morgernstern, namely


Completeness
Transitivity
Continuity
Independence 


A rigorous formulation of these axioms can be found on page 8 of Axiomatic Foundations of Expected Utility and Subjective Probability, by Edi Karni, from the Handbook of Economics of risk and uncertainty.. The violations of these axioms I am most interested in are the ones related to the Independence axiom (violations of completeness, transitivity and continuity would deserve a separate question. See this question for an example of intransitivity.).

Alternatively, by Von-Neuman and Morgenstern's representation theorem (page 9 of the same reference), these axioms are know to be equivalent to the fact that the preferences of the agent can be represented by a utility function of the form (in the discrete case):

$U(L) = \sum_{all~possible~events "e"} P(e)u(e)$

where $P(e)$ is again the probability that $e$ occurs and $u(e)$ is the utility of getting event $e$ for sure. 

I am looking for situations which cannot be accounted for by the expected utility model. Some well-known examples are the the Allais and Ellsberg paradoxes (although there is still a debate regarding Ellsberg paradox). On the other hand, I do not see the Saint-Peterborough paradox as contradicting expected utility theory, because it can be accounted for by the theory if one assumes an appropriate degree of risk aversion.

I hope this question can serve as a repository of famous experiments contradicting expected utility theory, so feel free to add many.
I asked the same question in the private beta of the newly open Economics.SE and got some interesting answers. You can check them out at https://economics.stackexchange.com/questions/95/experiments-contradicting-the-expected-utility-model