I was once told that the reason some of the usual terminology in the representation theory of Lie algebras is vaguely painful to use is because originally it was developed by physicists who couldn't tell the difference between a vector space and its dual.
I admit to be wholly ignorant of how physicists think about this stuff (vectors and co-vectors; not Lie algebras) in practice, but my limited (and perhaps mathematically biased) experience suggests that there are very good reasons for why the difference between vectors and co-vectors is subtle and not easy to see in concrete physical contexts.
First, the physicist's definition of a vector as sequence of numbers satisfying certain transformation rules seems to me to be saying that a physical object is represented by a vector, if in each basis (measurement devices of some sort, related via certain matrices), the associated sequence of numbers that come from measuring the object using those devices are related by matrix multiplication/linear equations (this is how I interpret Damien's definition).
This perspective is natural for physicists since they study empirical phenomena and they have to decide on how to model their data, which depends on what relationships between the data they observe. It is worth noting, however, that a physicist never sees an abstract vector - thy see only the numerical representation of that vector relative to a specific basis (measuring device), which means that the vector spaces physicists deal with in this context have an a priori chosen basis (without a basis it is senseless to talk about $\mathbb R^n$ and vectors corresponding to $n$-tuples of numbers).
In detail, what's happening is this. Suppose we have a measuring device, which takes in vectors and spits out three numbers, so a measuring device consists of three functions $\mathbf e_1^*, \mathbf e_2^*, \mathbf e_3^*$ that take vectors $v$ in a linear way to numbers in the underlying field $\mathbb R$ (the field doesn't have to consist of real numbers; it's just more intuitive geometrically in this way). In other words, the functions $\mathbf e_1^*,\mathbf e_2^*,\mathbf e_3^*$ are linear functionals $\mathbb V\to\mathbb R$ from our vector space to the real numbers, and we can put their results on a vector $\mathbb v$ together in a triple of numbers $(x,y,z)\in\mathbb R^n$ where $e_1^*(v)=x$, $e_2^*(v)=y$, $e_3^*(v)=z$,
Then, these three linear functions I claim determine a unique basis for the vector space $V$. This basis, which we'll call $\mathbb e_1,\mathbb e_2,\mathbb e_3$ consists of the unique vectors such that $\mathbf e_i^*(\mathbf e_j)=\begin{cases}1&i=j\\0&i\neq j\end{cases}$, i.e. the basis vectors $\mathbb e_1,\mathbb e_2,\mathbb e_3$ are the unique three vectors that corresponds to three the triples $(1,0,0)$, $(0,1,0)$, and $(0,0,1)$ respectively; they are precisely the objects that when measured give exactly those values.
Now, if vectors are the objects whose coordinates are measured by measuring devices, then co-vectors are precisely the functions that compose the measuring devices. In other words, the three functions $\mathbb e_1^*,\mathbb e_2^*,\mathbb e_3^*$ are examples of co-vectors, and they live in the dual space $V^*$ of linear functions $V\to\mathbb R$.
Of course, just as we thought of vectors as triples of numbers that satisfy certain properties relative to bases, so can we think of co-vectors as triples of numbers that satisfy certain properties relative to bases. However, it is a bit counter-intuitive to ask what co-vectors are measured by (they are measured by triples of objects), so instead let us think about how think actually look like in coordinates relative to some basis.
We know that an $n\times k$ matrix with real entries represents a linear transformation from $\mathbb R^k\to\mathbb R^n$. Now, we can think of vectors as linear transformations $\mathbb R\to V$ since given such a transformation $v$, we have a canonical vector $v(1)$. This then is exactly where the column matrix $\left[\begin{matrix}x\\y\\z\end{matrix}\right]$ comes from, and why it represents a vector.
So while vectors in $\mathbb R^3$ can be thought of as function $v\colon \mathbb R\to\mathbb R^3$, co-vectors can be thought of as functions $f\colon\mathbb R^3\to\mathbb R$. But those will be represented by row matrices $\left[\begin{matrix}a&b&c\end{matrix}\right]$.
Question: given our standard basis $\mathbb e_1,\mathbb e_2, \mathbb e_3$, what do the measuring functions $\mathbb e_1^*,\mathbb e_2^*,\mathbb e_3^*$ look like? Well, applying a function $f$ to a vector $v$ is the same as computing the composite linear map $\mathbb R\overset{v}\to\mathbb R^3\overset{f}\to\mathbb R$, and composing linear maps is done precisely via matrix multiplication.
This, if relative to a standard basis we have the co-vector $f=\left[\begin{matrix}a&b&c\end{matrix}\right]$, and the vector $v=\left[\begin{matrix}x\\y\\z\end{matrix}\right]$, then measuring $v$ with $f$ gives the number $f(v)=ax+by+cz$.
So in particular, we have that $f(\mathbb e_1)=a$, $f(\mathbb e_2)=b$, and $f(\mathbb e_3)=c$ where $\mathbb e_1,\mathbb e_2,\mathbb e_3$ is the standard basis given by $\mathbb e_1=\left[\begin{matrix}1\\0\\0\end{matrix}\right]$, $\mathbb e_2=\left[\begin{matrix}0\\1\\0\end{matrix}\right]$, and $\mathbb e_3=\left[\begin{matrix}0\\0\\1\end{matrix}\right]$. This implies that relative to that same basis we have $\mathbb e_1^*=\left[\begin{matrix}1&0&0\end{matrix}\right]$, $\mathbb e_2^*=\left[\begin{matrix}0&1&0\end{matrix}\right]$ and $e_3^*=\left[\begin{matrix}0&0&1\end{matrix}\right]$.
Evidently, this shows that the measuring functions $\mathbb e_1^*$,$\mathbb e_2^*$,$\mathbb e_3^*$ form a basis for the dual space $V^*$. Remembering where $\mathbb e_1^*$, $\mathbb e_2^*$, and $\mathbb e_3^*$ came from, we see that choosing a measuring device is actually a basis for the space of co-vectors. Furthermore, we see that choosing a basis of co-vectors also determines uniquely a dual basis of vectors, and hence an isomorphism between vectors and co-vectors.
This allows us to write down what property co-vectors satisfy. Evidently, they satisfy the same property as vectors if we switch between bases of co-vectors. The different property that they satisfy comes from choosing different bases of vectors. Specifically, let $f$ be a co-vector, and let $\mathbb e_1$,$\mathbb e_2$,$\mathbb e_3$ and $\tilde{\mathbb e}_1$, $\tilde{\mathbb e}_2$, $\tilde{\mathbb e}_3$ be another basis. Then:
$$\tilde{v}_{j} = \sum_{j=1}^{3} {T^t}_{i}^{j} v_i$$
and
$$v_{j} = \sum_{j=1}^{3} {S^t}_{i}^{j}\tilde{v}^i$$
where $M^t$ is the transpose of $M$, so in fact ${M^t}_i^j=M_j^i$.