To show that $\int_0^\infty e^{x^2} \, dx$ does not converge, I can use polar coordinates, and say
$$\int_0^\infty \int_0^\infty e^{x^2+ y^2} \, dx \, dy = \int_0^\infty\int_0^{\pi/2} e^{r^2}r d\theta \, dr$$ $$ = \frac{\pi}{2}\int_0^\infty e^{r^2}r \, dr$$ $$= \lim_{r \to \infty} \frac{\pi}{2}\bigg(\frac{e^{r^2}}{2} - \frac{1}{2} \bigg) = \infty$$
So $\int_0^\infty e^{x^2} \, dx$ does not converge.
What are some other ways to show it does not converge?