I was going over in my head today the topological proof that a continuous function defined on a closed, bounded interval achieves its maximum and minimum value, and I was trying to prove that a closed, bounded subset $K$ of a metric space $(X,d)$ is compact. The proof that a closed, bounded subset of $\mathbb{R}^n$ is compact relies, in some sense, on the notion of "dividing the subset in half" (and then goes on to use "one half must not be covered by a finite subcollection of the open cover", etc.).
If $K$ cannot be embedded in $\mathbb{R}^n$ for any $n$, I'm not sure what would be an appropriate version of "dividing the space in half". If $K$ has finite Lebesgue Covering Dimension, it embeds in a finite dimensional Euclidean space, and we're done.
So, are there closed, bounded subsets of metric spaces that do not have finite Lebesgue covering dimension? Equivalently (from my point of view), is there some general notion of dividing a closed, bounded subset $K$ of a metric space in two pieces, each with half the diameter, that works generally for all such possible $K$? Is there a counter-example to the statement that a closed, bounded subset of a metric space is compact? We likely went over this in my Ph.D. level general topology course, but I don't remember off the top of my head.