Let $Y$ denote the space of smooth functions $[0,1]\to\mathbb{R}$, equipped with the sup norm (i.e., topologized as a subspace of the usual space $C([0,1])$ of continuous functions on $[0,1]$). Is $Y$ $\sigma$-compact?
(Note that it follows from the Arzela-Ascoli theorem that for any $M$, the subset of $Y$ consisting of functions $f$ such that $|f(x)|\leq M$ and $|f'(x)|\leq M$ everywhere is precompact as a subset of $C([0,1])$, so $Y$ is $\sigma$-precompact as a subset of $C([0,1])$. However, these subsets are not closed, so they are not compact, and I don't see any way to construct "large" subsets of $Y$ that are compact. A negative answer to this question would complete my answer to another question.)