Evaluate $\int \cos(\cos x)~dx$
This is probably too long for a comment.
Wolfram alpha indicates that the solution has the form $$\sum_{n=0}^{\infty} \frac{x^{2n+1}(a_{n}\sin(1)+b_{n}\cos(1))}{(2n+1)!}$$
The $-a_{n}$ appear to correspond to oeis:A192007, e.g.f.: $\sin(\cos(x)-1)$ (even part), and the $b_{n}$ appear to correspond to oeis:A192060. e.g.f: $\cos(\cos(1)-1)$ (even part)
The indefinite integral has no simpler form (known), but there are some definite integrals, like this $$ \int_0^{\pi/2} \cos(\cos x)\,dx = \frac{\pi}{2}\;J_0(1) $$ in terms of a Bessel function.