We consider unstable attractors: Milnor attractors A such that, for some neighbourhood U of A, almost all initial conditions leave U. Previous research strongly suggests that unstable attractors exist and even occur robustly (i.e. for open sets of parameter values) in a system modelling biological phenomena, namely in globally coupled oscillators with delayed pulse interactions. In the first part of this paper we give a rigorous definition of unstable attractors for general dynamical systems. We classify unstable attractors into two types, depending on whether or not there is a neighbourhood of the attractor that intersects the basin in a set of positive measure. We give examples of both types of unstable attractor; these examples have non-invertible dynamics that collapse certain open sets onto stable manifolds of saddle orbits. In the second part we give the first rigorous demonstration of existence and robust occurrence of unstable attractors in a network of oscillators with delayed pulse coupling. Although such systems are technically hybrid systems of delay differential equations with discontinuous 'firing' events, we show that their dynamics reduces to a finite dimensional hybrid system after a finite time and, hence, we can discuss Milnor attractors for this reduced finite dimensional system. We prove that for an open set of phase resetting functions there are saddle periodic orbits that are unstable attractors.