Can anyone give an example of an unnatural isomorphism? Or, maybe, somebody can explain why unnatural isomorphisms do not exist.

Consider two functors $F,G: {\mathcal C} \rightarrow {\mathcal D}$. We say that they are unnaturally isomorphic if $F(x)\cong G(x)$ for every object $x$ of ${\mathcal C}$ but there exists no natural isomorphism between $F$ and $G$. Any examples?

Just to clarify the air, $V$ and $V^\ast$ for finite dimensional vector spaces ain't no gud: one functor is covariant, another contravariant, so they are not even functors between the same categories. A functor should mean a covariant functor here.

For a simpler, but arguably more artificial, example than Mark's, take $\mathcal{C}$ to be the category with one object and two morphisms. Then the identity functor $\mathcal{C}\to\mathcal{C}$ is "unnaturally isomorphic" to the functor that sends both morphisms to the identity map. 