Bibliography:
Lie Groups, Physics, and Geometry by Robert Gilmore (2008) 7.2 "The covering problem" gives some amazing intuition on the subject as usual.
Furthermore, the non-compact part is always isomorphic to , only the non-compact part can have more interesting structure.
The most important example is perhaps and , both of which have the same Lie algebra, but are not isomorphic.
This simply connected is called the universal covering group.
The unique group referred to at: every Lie algebra has a unique single corresponding simply connected Lie group.