Pouyou-pouyou: Final Fantasy 1 on the NES :
I took a party made of a fighter, a black belt, a red mage and a white mage. After the beginning of the game where the black belt had weapons for him, he progressively became weaker and weaker. I did not understand that and found that character totally crappy.
Near the end of the game I discovered that if you remove the weapon (nunchaku) from your black belt and make him fight bare-handed, he becomes a killing machine, better than any other fighter. But the game was nearly over by then...
It's worth noting that, in the MSX version, black belts don't fight better than other classes do unarmed, which is enough of a drawback to make them useless.
(On the other hand, I hear TMPR works in that version. There's also the advantage of having multiple saves (on separate disks), albeit with the downsides of load times and the need to switch disks to save (don't know if the game supports saving to a separate floppy drive).)
Another one: In Final Fantasy Legend 2, I would overlook agility and find that I couldn't hit with physical attacks. Fixing that made the game much easier, in particular the Venus and Apollo fights (who are immune to most magic).
Also, in Final Fantasy 2 I believe it took multiple playthroughs for me to figure out how important evasion works, and I didn't know about magic penalties from equipment until I read about it somewhere online (it's the sort of detail that the game should not have hidden from the player, but did).