Let $f:X \to Y$ be a morphism of schemes and let $F$ be an $\mathcal{O}_X$-module flat over $Y$. Is $f_*F$ flat over $Y$?
What's wrong with this argument? [EDIT: as Parsa points out, the (underived) projection formula does not hold for arbitrary modules on Y]
Let $N' \to N$ be an injection of modules over $Y$, we need to show that $f_*F \otimes N' \to f_*F \otimes N$ is an injection. By the projection formula $f_* F \otimes M = f_*(F \otimes f^*M)$. Using this we see $f_* F \otimes N' \to f_*F \otimes N = f_*(F \otimes f^*N' \to F \otimes f^*N)$ (the pushforward of the morphism, right?). Flatness of $F$ implies (right?) $F \otimes f^*N' \to F \otimes f^*N$ is injective. By left-exactness of $f_*$ we are done.
[EDIT: what is a counterexample then?]
[EDITT: this is clearly false, otherwise theorems about the semicontinuity of the cohomology of the fibres wouldn't be meaningful. It would be nice to have a simple counterexample though, anyone?]