Experiments contradicting the expected utility model This is a question I asked on the cognitive science beta which never got any answer there. I do not know what the policy should be for question migration/reposting (maybe worth discussing in the meta?), but I hoped it might get more answers (i.e. at least one ;)) here. 

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.. 

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. 

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 probably deserve a separate question. See this question for an example of intransitivity.).

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. But you are much welcome to argue against that.

I hope this question can serve as a repository of famous experiments contradicting expected utility theory, so feel free to add many.
this paper http://else.econ.ucl.ac.uk/papers/uploaded/243.pdf (Choi 2007) has a nice state of the art experiment that deals with rationality and expected utility is a special case of it. In general only 17% of consumers are compatible with rationality ergo the remaining part cannot be expected utility maximizers.  Quah has a nice paper on the revealed preference theory of expected utility (among other models), he uses Choi dataset to test expected utility hypothesis that is going to be rejected more times than rationality https://ideas.repec.org/p/lec/leecon/13-24.html