Well, first one has the following fact:
If one makes the corresponding "Gabriel's Horn" by rotating the region under $\frac{1}{x^p}$ from $x=1$ to $x=\infty$ around the $x$-axis, then:
The volume is finite iff $p>\frac{1}{2}$
The surface area is finite iff $p > 1$ so in particular
The Horn has finite volume and infinite surface area for any $p$ between $\frac{1}{2}$ and $1$, where $p$ cannot be $\frac{1}{2}$ but it can be $1$.
The proof is simply several uses of the comparison theorem.
One cool thing that pops out is that the standard Gabriel's horn $(p=1)$ actually gives the minimal volume Gabriel's horn which still has infinite surface area. If you shrink the volume at all (i.e., $p$ goes up), then the surface area becomes finite.
There are, of course, variations on this idea. For example, one can add some small bumps to the graph of $\frac{1}{x}$. Note that bumps will tend to increase the surface area (so it will stay infinite), but if the bumps are not too frequent or too high, then the volume will still converge. (Concretely, imagine rotation $\frac{\sin x}{x}$ with $1\leq x < \infty$ around the $x$ axis).
Finally, there are some other shapes which are in no way related to Gabriel's horn. For example, the Menger Sponge has finite volume but infinite surface area. You start with a cube of volume $1$ (so, very finite), and start cutting pieces out. Of course, this only lowers the volume, so the volume is finite at the end of the day. On the other hand, cutting pieces out increases the surface, and at the end up the day it's infinite.