I have lecture notes with the claim $(C_b(X), \|\cdot\|_\infty)$, the space of bounded continuous functions with the sup norm is complete.

The lecturer then proved two things, (i) that $f(x) = \lim f_n (x)$ is bounded and (ii) that $\lim f_n \in \mathbb{R}$.

I don't understand why it's not enough that $f$ is bounded. I think the limit of a sequence of continuous functions is continuous and then if $f$ is bounded, it's in $C_b(X)$. So what is this $\lim f_n \in \mathbb{R}$ about? Many thanks for your help.

Let $(B(X), \|\cdot\|_\infty)$ be the space of bounded real-valued functions with the sup norm. This space is complete. 

Proof: We claim that if $f_n$ is a Cauchy sequence in $\|\cdot\|_\infty$ then its pointwise limit is its limit and in $B(X)$, i.e. it's a real-valued bounded function:

Since for fixed $x$, $f_n(x)$ is a Cauchy sequence in $\mathbb R$ and since $\mathbb R$ is complete its limit is in $\mathbb R$ and hence the pointwise limit $f(x) = \lim_{n \to \infty } f_n(x)$ is a real-valued function. It is also bounded: Let $N$ be such that for $n,m \geq N$ we have $\|f_n - f_m\|_\infty < \frac{1}{2}$. Then for all $x$

$$ |f(x)| \leq |f(x) - f_N(x)| + |f_N(x)| \leq \|f - f_N \|_{\infty} + \|f_N \|_{\infty}$$

where $\|f - f_N \|_{\infty} \leq \frac12$ since for $n \geq N$, $ |f_n(x) - f_N(x)| < \frac12$ for all $x$ and hence $|f(x) - f_N(x)| = |\lim_{n \to \infty} f_n(x) - f_N(x)| = \lim_{n \to \infty} |f_n(x) - f_N(x)| \color{\red}{\leq} \frac12$ (not $<$!) for all $x$ and hence $\sup_x |f(x) - f_N(x)| = \|f-f_N\|_\infty \leq \frac12$.

To finish the proof we need to show $f_n$ converges in norm, i.e. $\|f_N - f\|_\infty \xrightarrow{N \to \infty} 0$:

Let $\varepsilon > 0$. Let $N$ be such that for $n,m \geq N$ we have $\|f_n-f_m\|_\infty < \varepsilon$. Then for all $n \geq N$

$$ |f(x) - f_n(x)| = \lim_{m \to \infty} |f_m(x) - f_n(x)| \leq \varepsilon $$

for all $x$ and hence $\|f- f_n\|_\infty \leq \varepsilon$. 
