We study strict local martingales via h-transforms, a method which first
appeared in Delbaen-Schachermayer. We show that strict local martingales arise
whenever there is a consistent family of change of measures where the two
measures are not equivalent to one another. Several old and new strict local
martingales are identified. We treat examples of diffusions with various
boundary behavior, size-bias sampling of diffusion paths, and non-colliding
diffusions. A multidimensional generalization to conformal strict local
martingales is achieved through Kelvin transform. As curious examples of
non-standard behavior, we show by various examples that strict local
martingales do not behave uniformly when the function (x-K)^+ is applied to
them. Implications to the recent literature on financial bubbles are discussed.