Example: Speed of Light Data
Gelman et al. in Bayesian Data Analysis (2004) consider a data set relating to speed of light measurements made by Simon Newcomb. The data sets for that book can be found via the Classic data sets page, and the book's website contains more information on the data.
Although the bulk of the data look to be more or less normally distributed, there are two obvious outliers. These outliers have a large effect on the mean, dragging it towards them, and away from the center of the bulk of the data. Thus, if the mean is intended as a measure of the location of the center of the data, it is, in a sense, biased when outliers are present.
Also, the distribution of the mean is known to be asymptotically normal due to the central limit theorem. However, outliers can make the distribution of the mean non-normal even for fairly large data sets. Besides this non-normality, the mean is also inefficient in the presence of outliers and less variable measures of location are available.
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