Is there a function such that the integral converges? I would like to know if there are functions $f:\mathbb{R} \rightarrow \mathbb{R}$ (apart from the trivial one $f=0$) such that
$$\left|\int_{\mathbb{R}^n} f\left(\sum_{i=1}^n x_i\right)dx_1 \cdots dx_n\right|<\infty.$$
Also, whether such class of functions is too narrow.
My feeling is that it is not possible. Any suggestions or ideas?
Thanks! :)

If you interpret the integral as a Lebesgue integral over $\mathbb R^n$, and $n \ge 2$, then you must have $f(x) = 0$ a.e. in order for the integral to converge.
Proof Suppose not.  Then for some $\epsilon > 0$ there is a set $A\subset \mathbb R$ of nonzero measure
where $|f| > \epsilon > 0$.  If $\phi$ is the linear functional $(x_1, \ldots, x_n) \mapsto x_1 + \ldots + x_n$, 
then $|f(\sum_j x_j)| > \epsilon$ on $\phi^{-1}(A)$ which has infinite $n$-dimensional Lebesgue measure.
If it's an iterated improper (Riemann) integral, then any $f$ with $\int_{-\infty}^\infty f(x)\; dx = 0$ will do.
