(this is basically the same question, only in math, as Alessandro Cossentino asked about theoretical computer science at TCS.SE: https://cstheory.stackexchange.com/questions/8869/casual-tours-around-proofs; if a question similar to this one already exists at MO, feel free to close this)
Recently Ryan Williams published (see http://arxiv.org/abs/1111.1261) a more "pedagogical" version of his proof in complexity theory concerning NEXP and ACC – in his own words, "the proof will be described from the perspective of someone trying to discover it". The paper discusses more intuition, failed attempts at solving the problem etc. much more extensively than a typical journal paper.
Personally I find such efforts extremely valuable, because they give you an opportunity to learn how somebody thinks about mathematics and not only verify the formal correctness of some abstract reasoning.
What other examples of such approach are you aware of?
Best Answer
John Stallings's article "How Not To Prove The Poincare Conjecture", available here http://math.berkeley.edu/~stall/ walks us through 4 conjectures - with implications between each - which would prove the famous question, if they were actually true. In the end the ideas don't work, but the reader does get a nice glimpse of standard tactics for classifying manifolds, and how one might leap between algebraic and geometric arguments to make the pieces fall into place.