Since 2000, in the United States alone, there were 16 reports of outbreaks or groups of outbreaks where the outbreak started with an initial case in an unvaccinated individual and resulted in disease in previously vaccinated individuals. The epidemiology of pertussis is a little different, and transmission happens in many cases apart from a clear outbreak, but there are several documented pertussis outbreaks that led to disease in vaccinated individuals as well. This JAMA report provides a good summary.
Herd immunity is important, especially in highly contagious diseases with no significant non-human reservoir, e.g., measles and pertussis. @iayork's answer is correct that vaccination is not an on/off switch. About 15% of measles cases in the US involve vaccinated individuals, and these have all been the result of transmission that started with an initial unvaccinated case (see previous reference).
These are bad diseases. They can cause serious illness. Half of infants who get pertussis need care in the hospital. For measles, 25% of all cases involve hospitalization. For both, life long disability (deafness, brain damage) and death are real possibilities. 1 in 100 infants with pertussis die, 1-2 in 1000 measles cases die. The harm intentionally unvaccinated people cause to vaccinated people and people who can't get vaccinated (because of their age or other health problems) is real and well documented.
In light of another answer and some comments, I'm adding a couple paragraphs putting vaccination in context with other strategies for prevention of infectious disease.
Relevant to this question, as is clear from the epidemiological data discussed above, vaccines are not 100% effective. Some vaccines are more effective than others. Measles vaccine, for example, is in the mid to high 90s. Flu vaccine effectiveness, depending on the population and year, can range from the 40s to the 80s. You can read about vaccine effectiveness in the CDC pink book, Epidemiology and Prevention of Vaccine-Preventable Diseases.
Other strategies for preventing infectious diseases depend on the great diversity of host/pathogen interactions. A few things are generally useful, and often effective. Wash your hands, wear a condom, and stay home when you have a fever. There is no good data on the general advice to stay home when you have a fever, but quarantine is effective for specific illnesses, especially in concert with vaccination and other preventative measures (see the CDC pink book). Limiting the isolation and sedentary behavior associated with staying home to cases where there is a fever has biological plausibility and minimizes the negative immune and other health effects of those behaviors (see Cecil Medicine, Chapter 288).
Along with vaccines, each of the strategies mentioned in the previous paragraph helps protect the individual who uses them as well as other people. So they are good for you and the people around you. You can practice all of them. I'm confused, but not surprised, when the effectiveness of some other strategy is used as an argument against the use of any of the others. You can compare the measured preventative efficacy and effectiveness of each strategy, and come to the conclusion that vaccines generally give the best results (both on an individual and population level), but I'm not sure why, for example, you would decide not to wash your hands because you got a particular vaccine, or not to get vaccinated because you washed your hands.