inverse Galois problem
Galois theory hands you a group from every polynomial. The inverse Galois problem turns the arrow around and asks: starting from an abstract finite group, can you always find a polynomial over the rationals whose symmetries are exactly that group? Surprisingly, despite a century and a half of effort, nobody knows whether the answer is always yes.
Stated precisely, the inverse Galois problem asks whether every finite group G occurs as the Galois group Gal(L/Q) of some finite Galois extension L of the rational numbers. The problem is wide open in general. It is known to have an affirmative answer for many classes: all solvable groups (Shafarevich's theorem), all symmetric and alternating groups, and 25 of the 26 sporadic simple groups (the Mathieu group M_23 being the famous holdout at the time of writing).
A major tool is rigidity and the theory of Hurwitz spaces: realizing G over the function field Q(t) and then specializing t, often via Hilbert's irreducibility theorem, to descend to Q. One must be careful — the analogous problem over other base fields can behave very differently; for instance every finite group is a Galois group over the field C(t) of rational functions, so the difficulty is genuinely about the arithmetic of Q, not just group theory.
The symmetric group S_n is a Galois group over Q: a 'generic' polynomial like x^5 - x - 1 has Galois group S_5 over Q.
Symmetric groups are known to be realizable; many groups remain open in general.
The status of individual groups changes over time as the field advances; the M_23 remark reflects the long-standing state of the art and may be superseded.