Deleting elements from std::set while iterating

This is implementation dependent:

Standard 23.1.2.8:

The insert members shall not affect the validity of iterators and references to the container, and the erase members shall invalidate only iterators and references to the erased elements.

Maybe you could try this -- this is standard conforming:

for (auto it = numbers.begin(); it != numbers.end(); ) {
    if (*it % 2 == 0) {
        numbers.erase(it++);
    }
    else {
        ++it;
    }
}

Note that it++ is postfix, hence it passes the old position to erase, but first jumps to a newer one due to the operator.

2015.10.27 update: C++11 has resolved the defect. iterator erase (const_iterator position); return an iterator to the element that follows the last element removed (or set::end, if the last element was removed). So C++11 style is:

for (auto it = numbers.begin(); it != numbers.end(); ) {
    if (*it % 2 == 0) {
        it = numbers.erase(it);
    }
    else {
        ++it;
    }
}

If you run your program through valgrind, you'll see a bunch of read errors. In other words, yes, the iterators are being invalidated, but you're getting lucky in your example (or really unlucky, as you're not seeing the negative effects of undefined behavior). One solution to this is to create a temporary iterator, increment the temp, delete the target iterator, then set the target to the temp. For example, re-write your loop as follows:

std::set<int>::iterator it = numbers.begin();                               
std::set<int>::iterator tmp;                                                

// iterate through the set and erase all even numbers                       
for ( ; it != numbers.end(); )                                              
{                                                                           
    int n = *it;                                                            
    if (n % 2 == 0)                                                         
    {                                                                       
        tmp = it;                                                           
        ++tmp;                                                              
        numbers.erase(it);                                                  
        it = tmp;                                                           
    }                                                                       
    else                                                                    
    {                                                                       
        ++it;                                                               
    }                                                                       
} 

You misunderstand what "undefined behavior" means. Undefined behavior does not mean "if you do this, your program will crash or produce unexpected results." It means "if you do this, your program could crash or produce unexpected results", or do anything else, depending on your compiler, your operating system, the phase of the moon, etc.

If something executes without crashing and behaves as you expect it to, that is not proof that it is not undefined behavior. All it proves is that its behavior happened to be as observed for that particular run after compiling with that particular compiler on that particular operating system.

Erasing an element from a set invalidates the iterator to the erased element. Using an invalidated iterator is undefined behavior. It just so happened that the observed behavior was what you intended in this particular instance; it does not mean that the code is correct.