Concrete category

In mathematics, a concrete category is a category in which, roughly speaking, all objects are sets possibly carrying some additional structure, all morphisms are functions between those sets, and the composition of morphisms is the composition of functions.

Most categories considered in everyday life are concrete; examples are the category of topological spaces with continuous maps as morphisms or the category of groups with group homomorphisms as morphisms.

If C is a concrete category, then there exists a forgetful functor F : C → Set which assigns to every object of C the underlying set and to every morphism in C the corresponding function. This functor is faithful[?], i.e. it maps different morphisms between the same objects to different functions (it may however map different objects to the same set). In the formal approach, a concrete category is defined as a category together with a faithful functor into the category of sets.

Are there any categories which do not allow a faithful functor into Set?