Well, the axiom of choice gives a lot of counterintuitive examples, with the Banach-Tarski paradox being the easiest to imagine by a non-mathematician.
Yet, I know no consequences that would be measurable in physics. To my knowledge, AoC is more like glue, which (paradoxically) makes quite a few things smoother, e.g., all Hilbert spaces have a basis. Otherwise one runs in a lot of theorems, in all corners of maths, with "this is always true for finite, for infinite we know that there are no counterexamples, yet we cannot prove that for all cases".