If you want to compute crystalline cohomology of a smooth proper variety $X$ over a perfect field $k$ of characteristic $p$, the first thing you might want to try is to lift $X$ to the Witt ring $W_k$ of $k$. If that succeeds, compute de Rham cohomology of the lift over $W_k$ instead, which in general will be much easier to do. Neglecting torsion, this de Rham cohomology is the same as the crystalline cohomology of $X$.

I would like to have an example at hand where this approach fails: Can you give an example for

A smooth proper variety $X$ over the finite field with $p$ elements, such that there is no smooth proper scheme of finite type over $\mathbb Z_p$ whose special fibre is $X$.

The reason why such examples have to exist is metamathematical: If there werent any, the pain one undergoes constructing crystalline cohomology would be unnecessary.

If you want to compute crystalline cohomology of a smooth proper variety $X$ over a perfect field $k$ of characteristic $p$, the first thing you might want to try is to lift $X$ to the Witt ring $W_k$ of $k$. If that succeeds, compute de Rham cohomology of the lift over $W_k$ instead, which in general will be much easier to do. Neglecting torsion, this de Rham cohomology is the same as the crystalline cohomology of $X$.

I would like to have an example at hand where this approach fails: Can you give an example for

A smooth proper variety $X$ over the finite field with $p$ elements, such that there is no smooth proper scheme of finite type over $\mathbb Z_p$ whose special fibre is $X$.

The reason why such examples have to exist is metamathematical: If there werent any, the pain one undergoes constructing crystalline cohomology would be unnecessary.