What is the the integral of $\sqrt{x^a + b}$? How do you evaluate $\displaystyle\int\sqrt{x^a + b}\,\,\text{dx}$, where $a \neq 0$ and $a \neq 1$?
For example, how do you evaluate $\displaystyle\int\sqrt{x^2 + 1}\,\text{dx}$? If we let $u=x^2+1$, then $du=2x\,\text{dx}$. We cannot do this because there is no $2x$ in the original function. Of course you cannot let $u=\sqrt{x^2 + 1}$, because $du=\displaystyle\frac{x}{\sqrt{x^2+1}}\,\text{dx}$. There is no $\displaystyle\frac{x}{\sqrt{x^2+1}}$ in the original function. So how do we solve this?
How about $\displaystyle\int\sqrt{x^3 + 1}\,\text{dx}$?

Lots of integrals of that kind cannot be solved in terms of elementary simple functions. Indeed, there is a large class of integrals whose solutions are the so called Jacobi Elliptic Integrals Functions (of the first kind, second kind and third kind).
Generally, you have an integral of the form
$$\int R\left(x, \sqrt{P(x)}\right)\ \text{d}x$$
where $P(x)$ is a polynomial of degree $3$ or $4$ and $R$ denotes a general rational function. For example, you very last integral will be solvable interns of Jacobi Elliptic Functions:
$$\int\sqrt{x^3 + 1}\ \text{d} x$$
is nothing but the integral of the square root of a polynomial of degree three.
It's solution is
$$\int\sqrt{x^3 + 1}\ \text{d}x = \frac{2}{5\sqrt{1 + x^3}}\left(x + x^4 + (-1)^{1/6} 3^{3/4}\sqrt{(-1)^{1/6}\left((-1)^{2/3} + x\right)}\sqrt{+1 (-1)^{1/3}x + (-1)^{2/3}x^2}\ \mathcal{F}(x)\right)$$
Where
$$\mathcal{F}(x) = F\left(\arcsin\left(\frac{-(-1)^{5/6}(1+x)}{3^{1/4}}\right),\ (-1)^{1/3}\right)$$
Is the so called Jacobi Elliptic Function of the first kind.
More on JEF
https://en.wikipedia.org/wiki/Elliptic_integral
General Case
There is a really funny solution for the general case for your integral, namely 
$$\int\sqrt{x^a + b}\ \text{d}x$$
Despite it is not solvable in terms of simple functions, a close form solution does exist. Indeed, this integral has a general solution in terms of the so called HyperGeometric Special Functions:
$$\int\sqrt{x^a + b}\ \text{d}x = \frac{x\left(2(b + x^a) ab\sqrt{\frac{b + x^a}{b}}\ _2F_1\left[\frac{1}{2},\ \frac{1}{a},\ 1 + \frac{1}{a},\ -\frac{x^a}{b}\right]\right)}{(2+a)\sqrt{b + x^a}}$$
Where the HypGeo Function 
$$_2F_1\left[\frac{1}{2},\ \frac{1}{a},\ 1 + \frac{1}{a},\ -\frac{x^a}{b}\right]$$
can be defined here
https://en.wikipedia.org/wiki/Hypergeometric_function
and here
http://mathworld.wolfram.com/HypergeometricFunction.html
Some values for the HyperGeometric Function here
http://functions.wolfram.com/HypergeometricFunctions/Hypergeometric2F1/03/
And a good article on computing values for $\ _2F_1$ here
http://arxiv.org/pdf/1212.0251v6.pdf
