In a more technical parlance, I believe your asking, is the strict exogeneity assumption ever violated. Where the strict exogeneity assumption is...
$$E(\epsilon|X)=0$$
In practice this happens all the time. As a matter of fact the majority of the field of econometrics is focused on the failure of this assumption. When does this happen...
Let's assume that $\epsilon \sim N(0,1)$, so $E(\epsilon) = 0$. We know that if $\epsilon$ and $X$ are independent then $E(\epsilon|X) = E(\epsilon) = 0 $. However, what if $X$ and $\epsilon$ are correlated such that $Cov(X,\epsilon) = E(X'\epsilon) - E(X)E(\epsilon) = E(X'\epsilon) \neq E(\epsilon) = 0$. This implies that $E(\epsilon|X) \neq 0 $
Clearly the strict exogeneity assumption fails if $X$ and $\epsilon$ are correlated. The question is, does this ever happen? The answer is yes. As a matter of fact, outside of experimental settings, it happens more often then not. The most common example is omitted variable bias. Matthew Gunn's post discusses this. Another pedagogical example is as follows, imagine you run a regression of ice cream sales over time on the number of people wearing shorts over time. You will likely get a very large and significant parameter estimate. However you're not going to go running to Haagen Daz executives telling them they should start running advertisements for summer wear. It is obvious that there is a missing variable, temperature. This is a violation of the strict exogeneity assumption because number of people wearing shorts ($X$) is correlated with our omitted variable temperature which is contained in the error term ($\epsilon$)
Notice that the parameter estimate in our simple ice cream sales on number of shorts model is biased. Once we include the temperature in the model the, the number of shorts parameter will change. More formally:
$$\hat \beta = (X'X)^{-1}X'Y = \beta + (X'X)^{-1}X'\epsilon$$
If $X$ and $\epsilon$ are correlated then ...
$$E(\hat \beta) = \beta + (X'X)^{-1}E(X' \epsilon)$$
So the bias is $(X'X)^{-1}E(X' \epsilon)$ which vanishes if the $E(X' \epsilon)=0$