Steve Wenner:
However, one of many puzzlements: if the integrals diverge, then why not change the measure?
"Imposing a cutoff" or "regularization" is one way to change the measure to get a convergent integral. This is an important first step. But in making this step, you are led to inaccurate answers to physics questions. This step amounts to pretending that virtual particles with large momenta are impossible, or less likely than we'd otherwise expect. That's not really true.
It's like saying "my calculations show that I'll be in debt if I buy a Cadillac. But I don't want to be in debt, so I'll do the calculation differently."
To get the right answers, you don't want to make false assumptions just in order to get integrals that converge! You want to figure out why the integrals are diverging, understand what conceptual mistake you're making, and fix that conceptual mistake. That's renormalization.
There are ways to do this, like Scharf's way, where you never get the divergent integrals in the first place. But I believe for most people those are harder to understand than what I explained here. My explanation is more "physical" - or at least, most physicists use this way of thinking.
So what's the conceptual mistake?
The conceptual mistake is trying to work with imaginary "bare" particles separated from their virtual particle cloud. There is no such thing as a bare particle.
It's not an easy mistake to fix, because the particle-with-cloud is a complicated entity. But renormalization is how we fix this mistake. It makes perfect sense when you think about it. I think my explanation should be enough to get the idea. The actual calculations are a lot more work.