What is the average distance between two points chosen uniformly in the unit hypercube $(0,1)^n$? For $n=1$ it is the integral
$$ \int_0^1\int_0^1 |x-y| dydx = \frac{1}{3}.$$
For $n=2$ it becomes surprisingly challenging:
$$\int_0^1\int_0^1\int_0^1\int_0^1 \sqrt{(x_2-x_1)^2+(y_2-y_1)^2} dx_1dx_2dy_1dy_2=\frac{\sqrt{2}+2+5\ln(1+\sqrt{2})}{15}.$$