You say you mean "undefinable" in the sense "undefinable in first order logic," but this is still ambiguous: what is the language (i.e., the collection of non-logical symbols) you are using?
For instance:
${1\over 2}$ is undefinable in $(\mathbb{R}; +)$.
$e$ is undefinable in $(\mathbb{R}; +, \times)$.
$\pi$ is (almost certainly :P) undefinable in $(\mathbb{R}; +, \times, exp)$.
And so forth.
There are even some examples which may seem to strain the limits of possibility:
Fix a countable language $\Sigma$, and enumerate the $\Sigma$-formulas as $\varphi_i$. Let $r$ be the real whose $n$th bit (in binary) is $0$ iff $\varphi_n$ holds of some real whose $n$th binary bit is $1$. Then I have "defined" $r$, in a language larger than $\Sigma$, but still somehow "$\Sigma$-ish."
Much more weirdly: Suppose there is a definable well-ordering of the reals - this is a consequence of e.g. $V=L$. Then there is a least (according to this well-ordering) real which is not definable in the language of set theory$^*$! The reason this isn't a contradiction is that "definable" isn't definable. :P Nonetheless, in some sense I have "given" you a real . . .
And, of course, there is no real which is "absolutely" undefinable: we can always expand the language to include a constant for that particular real!
(A natural question at this point is to ask whether there is a sense in which some reals are "more definable" than others. Depending how you ask this, you wind up in computability theory, descriptive set theory, model theory, . . . )
$^*$I'm assuming that we're working with the true reals, or at least a model which is well-founded and whose $\mathbb{R}$ is truly uncountable; beware of weird countable models, e.g. the pointwise definable ones (http://arxiv.org/abs/1105.4597)!