In any probability class, you will learn that you can't have an uniform distribution on an infinite set.
In any probability class, you will learn that you can't have an uniform distribution on an infinite set.
Edit: As pointed out, the correct assumption is not unboundedness, but having infinite measure (since then no normalization constant exists). I thought they were equivalent, but a simple counterexample is [0,1] \cup Z.
It seems to me that you can define a uniform distribution for finite sets of measure zero and for sets with finite measure.
This just goes to show how much math relies on people knowing which definitions you happen to be using at the moment you say something.
The point is that not all sets with nonzero finite measure are bounded, therefore you can have a uniform distribution whose support is equal to such a set.
For example, consider a set that contains (0,1/2), (1,1+1/2), (2,2+1/4), ... etc, so interval i has measure 2^-i. It should be obvious that there is no largest element, and if you sum the measures of all the sets you will find that the measure is 1. A big chunk of "doing mathematics" is having a library of techniques on tap to come up with weird objects like this to attack assumptions.