Consider f(x) = 1/(1+x^2) where x is real. If one writes
<br />
f(x) = \sum_{j=0}^{\infty} c_j X^j<br />
where X = x - k is the distance from x to some center k, then one can show that the radius of convergence is
<br />
\sqrt{1 + k^2}.<br />
If we choose k = 0, for example, the radius of convergence is mysteriously 1, yet if one examines the graph of f one will not see anything wrong at x = 1 or x = -1.
In fact, this is when it is useful to consider the complex function F(z) = 1/(1+z^2). Of course F(z) agrees with f(x) when z is restricted to the real line. Now note that the quantity
<br />
\sqrt{1+k^2}<br />
is the distance in the complex plane from the center k to the points i and -i. Of course, these points i, -i are singularities of the complex function F(z) but not of the real function f(x), so we see that the radius of convergence of f(x) is the distance to the nearest singularity of the complex function F(z); in fact, although I won't explain it now, this is true generally if one replaces "nearest singularity" with "nearest singularity or branch point."
In this case I've "went backwards." Clearly F(z) is defined everywhere except at z = i and z = -i. So if one has a series representation of F(z) as above, then F(z) would be the analytic continuation of this series to the entire plane (except z = i and z = -i).
Here's a slightly better example. Consider the function
<br />
h(z) = 1 + z + z^2 + \dots<br />
This converges within the unit disc |z| < 1 and consequently is analytic there. Except for a singularity at z = 1, this function can be analytically continued to the whole plane as
<br />
H(z) = \frac{1}{1-z}.<br />
You can check that h and H agree within the unit disc. Further, this continuation is unique.
A very loose and rough way of thinking about this is as follows. If an analytic mapping sends any arbitrarily small curve to a point, then the mapping will send its entire domain to that point. Thus if H_1 and H_2 were two distinct continuations of h, then the function H_1 - H_2 would send the unit disc to the origin and thus H_1 - H_2 = 0.