A useful characterization of measurable sets is that a set is measurable if and only if it is of the form $B\triangle N$ where $B$ is Borel (even $G_\delta$) and $N$ is null (measure zero) (this is easy to show using regularity of the measure, and is actually true for any regular Borel measure, on any space).
From that it's not hard to see that a measurable set can be rather pathological: $N$ can be any subset of the Cantor set, for instance. It can also be any subset of a comeager set which is of zero measure (like the set of Liouville numbers, for example), which can fail to have Baire property. It also makes it easy to see that there are $2^{\mathfrak c}$ measurable sets.