This example from the book Subjective Probability: The Real Thing by Richard Jeffrey was pointed out to me by a friend of mine yesterday. Let's draw a little diagram of possible outcomes and their utility:
The '*' indicates an outcome with probability zero and the other outcomes are considered to be equally likely. A is the variable describing your state of liveness and B is the variable representing your honour.
E(utility|A=death) = 1.5
E(utility|B=dishonour) = 1
E(utility|B=honour) = 2.5
E(utility|A=life) = 3
With this set of utilities one does indeed rate death before dishonour but not honour before life.
This gets mixed reactions. Some people think that it's a nice counterintuitive result. Some people think it's so trivial they don't see why anyone would even mention it. If you're in the latter group, sorry for wasting your time. :-)
(I leave the Haskell program using a probability monad as an exercise...)