psie: you might think about "cantor sets" in relation to this. i maybe wouldn't think of them as prototypical closed subsets of R, but they are closed sets, and sometimes informative examples. the usual construction (e.g.
en.wikipedia.org/wiki/Cantor_set but there are probably much better pages, at a glance this looks pretty bad) explicitly involves complementation and open intervals. the ternary expansion viewpoint is also helpful for this example.