Let $V$ and $W$ be vector spaces (say over the reals). There is a linear injection $V^* \otimes W^* \to (V \otimes W)^*$ which sends $\sum_i f_i \otimes g_i \in V^* \otimes W^*$ to the unique functional in $(V \otimes W)^*$ sending $v \otimes w \mapsto \sum_i f_i(v) \cdot g_i(w)$ for all $(v,w) \in V \times W$. In the finite dimensional case it is easy to see this is an isomorphism by comparing dimensions on both sides. I'm aware that this is not an isomorphism in the infinite-dimensional case (see Relation with the dual space in the wikipedia article on tensor products) but I must admit that I'm not sure why. Cardinal arithmetic does not seem help here and, even if it did, I would be much happier to see an explicit example of a functional in $(V \otimes W)^*$ outside the range of this map. I'm having trouble cooking one up myself.
Added: Let me elaborate on my comment about cardinal arithmetic. Suppose that $X$ and $Y$ are infinite dimensional vector spaces over a field $k$. I'm confident that $\dim (X \otimes Y) = \dim X \cdot \dim Y$ holds. It is clear that $|X^*| = |k|^{\dim X}$ since we may identify a functional on $X$ with a function from a basis for $X$ to $k$. Also I think I've convinced myself that if $\dim X \geq |k|$ then in fact $|X| = \dim X$ ie. the cardinality and dimension of a vector space agree when the dimension is larger than the cardinality of the ground field. Consequently, assuming say that $|k| \leq \dim X \leq \dim Y$ it seems we have $ \dim(X \otimes Y)^* = |k|^{ \dim X \cdot \dim Y} = |k|^{ \dim Y} = \dim Y^* = \dim X^* \cdot \dim Y^* = \dim (X^* \otimes Y^*)$
which implies that in fact $(X \otimes Y)^*$ and $X^* \otimes Y^*$ are isomorphic but, rather frustratingly, the obvious map does not do the job. Did I make a mistake here? If not, is it generally true (ie without making assumptions about $|k|$) that there exists some isomorphism $(X \otimes Y)^* \to X^* \otimes Y^*$?