Connected components of definable groups and o-minimality I

We give examples of groups G such that G^00 is different from G^000. We also prove that for groups G definable in an o-minimal structure, G has a “bounded orbit” iff G is definably amenable. These results answer questions of Gismatullin, Newelski, Petrykovski. The examples also give new non G-compact first order theories.