Lie groups are often defined to be finite-dimensional, but there are many groups that resemble Lie groups, except for being infinite-dimensional. The simplest way to define infinite-dimensional Lie groups is to model them on Banach spaces, and in this case much of the basic theory is similar to that of finite-dimensional Lie groups. However this is inadequate for many applications, because many natural examples of infinite-dimensional Lie groups are not Banach manifolds. Instead one needs to define Lie groups modeled on more general locally convex topological vector spaces. In this case the relation between the Lie algebra and the Lie group becomes rather subtle, and several results about finite-dimensional Lie groups no longer hold.
The literature is not entirely uniform in its terminology as to exactly which properties of infinite-dimensional groups qualify the group for the prefix Lie in Lie group. On the Lie algebra side of affairs, things are simpler since the qualifying criteria for the prefix Lie in Lie algebra are purely algebraic. For example, an infinite-dimensional Lie algebra may or may not have a corresponding Lie group. That is, there may be a group corresponding to the Lie algebra, but it might not be nice enough to be called a Lie group, or the connection between the group and the Lie algebra might not be nice enough (for example, failure of the exponential map to be onto a neighborhood of the identity). It is the "nice enough" that is not universally defined.
The group of diffeomorphisms of a manifold. Quite a lot is known about the group of diffeomorphisms of the circle. Its Lie algebra is (more or less) the Witt algebra, which has a central extension called the Virasoro algebra, used in string theory and conformal field theory. Diffeomorphism groups of compact manifolds of larger dimension are regular Fréchet Lie groups; very little about their structure is known.
The group of smooth maps from a manifold to a finite-dimensional Lie group is an example of a gauge group (with operation of pointwise multiplication), and is used in quantum field theory and Donaldson theory. If the manifold is a circle these are called loop groups, and have central extensions whose Lie algebras are (more or less) Kac–Moody algebras.There are infinite-dimensional analogues of general linear groups, orthogonal groups, and so on. One important aspect is that these may have simpler topological properties: see for example Kuiper's theorem. In M-Theory, for example, a 10 dimensional SU(N) gauge theory becomes an 11 dimensional theory when N becomes infinite.