The canonical projection $\pi:\mathbb{R}^2\rightarrow \mathbb{R}$ such that $\pi(x,y)=x$
maps $G_\delta$ sets to Borel sets? i.e.
If $A=\cap_n^\infty A_n$ with $A_n$ open sets, then $\pi(A)$ is Borel?
The canonical projection $\pi:\mathbb{R}^2\rightarrow \mathbb{R}$ such that $\pi(x,y)=x$
maps $G_\delta$ sets to Borel sets? i.e.
If $A=\cap_n^\infty A_n$ with $A_n$ open sets, then $\pi(A)$ is Borel?
No. Even projections of $G_\delta$ sets could be non-Borel. A projection of a $G_\delta$ subset of $\mathbb{R} \times \mathbb{R}$ is called an analytic set. There are analytic non-Borel sets.
There are also many very concrete examples of analytic not Borel Sets. Often, they are more naturally subsets of other Polish spaces such as ${}^\omega \omega$; however, one can always transfer them into $\mathbb{R}$ by a Borel isomorphism.
For example, the set of reals that do not code well-ordering is an analytic not Borel set. Isomorphism of structures in the language with one binary relation symbol is also analytic. There are also numerous other examples from analysis concerning concepts like differentiability, summability, etc. See Classical Descriptive Set Theory Section 27 for other examples.