Non finitely generated graded ring of a divisor in dimension >2
Here is a way of generating lots of examples:
Start with a variety $X$ with an effective cone which is not rational polyhedral (i.e., not finitely generated) and let $L_1,\ldots,L_r$ be a collection of line bundles on $X$ such that their span $\{L_1^{a_1}\otimes \cdots\otimes L_r^{a_r} | a_1,\ldots,a_r \ge 0\}\,\,$ includes the effective cone. For example, one could take $X$ to be the blow-up of projective space at sufficiently many points, or a K3 surface of maximal Picard number.
Now consider the variety $Y=\mathbb{P}(E)$ where $E=L_1\oplus \cdots \oplus L_r$ and the line bundle $O(1)$ on $Y$. We have for $n\geq 0$, $$ H^0(Y,O(n))\cong H^0(X,Sym^n(E))=\bigoplus_{a_1+\ldots +a_r=n}H^0(X,L_1^{a_1}\otimes \cdots\otimes L_r^{a_r}) $$so that $R(Y,O(1))$ is isomorphic to the sum of all sections of all effective line bundles on $X$: this is usually called the Cox ring of $X$. When the effective cone of $X$ is non-rational polyhedral it is clear that this ring is infinitely generated, since it requires sections from all effective divisor classes.
It is usually a difficult problem in birational geometry to decide when a nef and big divisor is semiample, i.e., some multiple of $D$ is base-point free. A well-known theorem of Zariski says that if $X$ is normal and projective, then $D$ is semiample if and only if the section ring $R(X,D)$ is finitely generated. So this theorem gives a way of producing nef and big divisors which are not semiample. In particular, choosing $X$ such that the nef-big cone is not rational polyhedral, $L=O(1)$ is nef and big, but not semiample, since $R(Y,L)$ is not finitely generated.
I give Siu's analytical method to test that the ring $$R(X,L)=\bigoplus_{m=1}^\infty H^0(X,mL)$$ is not finitely generated
Let $X$ be a compact complex manifold and the ring $R(X,L)=\bigoplus_{m=1}^\infty H^0(X,mL)$ is finitely generated and let $s^{(m)}_1, … , s^{(m)}_{q_m}\in H^0 (X,mL) $
be a basis over $\mathbb C$. Let
$$ \Phi =\sum_{m=1}^\infty \epsilon_m( ∑_{j=1}^{q_m} |s^{(m)}_j|^2)^{1/m} $$
where $\epsilon_m$ is some sequence of positive numbers decreasing fast enough to guarantee convergence of the series. Then all the Lelong numbers of the closed positive $(1,1)$-current $$T=\frac{\frak{\sqrt{-1}}}{2\pi}\partial\bar\partial \log Φ$$ are rational numbers.
So one of ways to find some examples is to show that the Lelong number of $T$ is not rational at some point, hence the ring $R(X,L)=\bigoplus_{m=1}^\infty H^0(X,mL)$ is not finitely generated
Definition: Let $W\subset \mathbb C^n$ be a domain, and $\Theta$ a positive current of degree $(q,q)$ on $W$. For a point $p\in W$ one defines $$\mathfrak v(\Theta,p,r)=\frac{1}{r^{2(n-q)}}\int_{|z-p|<r}\Theta(z)\wedge (dd^c|z|^2)^{n-q}$$ The Lelong number of $\Theta$ at $p$ is defined as
$$\mathfrak v(\Theta,p)=\lim_{r \to 0}\mathfrak v(\Theta,p,r)$$
Let $\Theta$ be the curvature of singular hermitian metric $h=e^{-u}$, one has
$$\mathfrak v(\Theta,p)=\sup\{\lambda\geq 0: u\leq \lambda\log(|z-p|^2)+O(1)\}$$
In Section 7 of this paper the authors gave an example of a smooth 3-fold $X$ with a divisor $D$ such that:
$\lim_{n \rightarrow \infty} \frac{h^0(\mathcal O_X(nD))}{n^3} = 6+ \frac{2\sqrt 3}{9}$
I would love to here about more natural examples!