The Harvest Moon series is riddled with this sort of thing. While it generally only smacks those going for secrets or 100% completion, there are several instances where normal players are frustrated.
In the series as a whole, triggering certain cut scenes (needed to marry characters or unlock new features) are a matter of being in the right place at the right time - and sometimes under the right conditions and with the right item equipped. (Ex: Elli's Yellow Heart event in Friends Of Mineral Town can only be triggered on a sunny Wednesday on Mineral Beach between 9 AM and 10:30 AM)
Cliff's Blue rival heart event is especially bad. It has to be done between 11am and 4pm at the church on a rainy day that's not Saturday in either spring or summer of the first year. That last part is the thing everyone misses. In Autumn of the 1st year is an event that, regardless of the results, means Cliff will never be at the church under those conditions anymore. And being that you're probably busy during the 1st spring and summer (and the weather is random) there's a good chance you'll miss it if you don't know what you're doing.
An egregious one is unlocking the first Hot Springs in HM DS. You need to view Flora's Yellow Heart scene to get it. If you haven't seen it before you marry someone else or she marries Carter, it's Lost Forever.
Another lighter example is Another Wonderful Life for Rock's third heart event (it has to be triggered by leaving your farm through the passage near Takakura's house, even though the event leads you near the bridge}, and Gustafa's final heart event (you have to enter the Inn and leave between 7:00 PM to Midnight to find Gustafa leaving the bar, even though there is nothing the event has that urges you to go there and you had no indication before that you'll need to head there).
Island of Happiness'' tweaked the farming system used in previous games. The new crop growing system uses set time intervals as minimum time required in each stage, and adds water and sunlight requirements that don't always correspond, and the weather gaining its own modifiers. Too little, and your crops will never grow. Too much, and they'll wither away. Those ranges are wide enough to avoid complete ruin unless the randgen hates you, but if you want that ultimate turnip for the festival? You need to hit the absolute minimum to grow - too much sun and water will only reduce the quality. The precise requirements for each crop, or exactly how the weather affects them? All in the guide.
Also in IoH, getting the fishing pole from Taro can be an exercise in frustration. First of all, there's no hint that you get the pole from him. Secondly, if you try to give him gifts right away to raise his friendship levels, he won't take them. It turns out you have to raise his levels at first by talking to him every for three to five days straight. And if you try to give him a gift before he's ready to accept... the "counter" resets and you have to start with the talking all over again. Getting the dog from Mirabelle and the horse from Chen are similarly frustrating.
Plus improving your situation in general and unlocking more features and locations requires friendship with just about everyone, and friendship means daily conversations. With everyone. Investing more than half of your play time in The Power of Friendship is more critical to running your farm than being able to balance a budget, which can be a huge Guide Dang It to westerners unfamiliar with the series, as they languish for years accumulating small fortunes that can't be spent, and never seeing half the island, or even half their potential farm.
Then there's littering in HM DS. In the other games of the series, littering (throwing objects away outside of your property, and not into a trash can) causes a dip in friendship levels for the entire cast (How can they tell?). In DS, not only does littering on your own property count, but the penalties are insanely high. Littering twice in one day can literally knock your love interest's Heart Level down one entire color.
There's also Cursed Tools in HM DS and (More) Friends: Not only how to get them (Randomly on certain mine floors, and only after you've upgraded your standard tools to their maximum) but how to remove the curses permanently (once you equip a curse tool, you can't unequip it until you have Pastor Carter release the curse). In DS, it's a matter of money. In (More) Friends there are three different ways to break the curse: leave equipped for 30 days, Bless 10 times, use 255 times without unequipping. The game doesn't tell you this, nor which method corresponds to which of the six tools.
In the Animal Crossing series, finding every bug and fish is almost impossible without a guide, since all bugs and fish are catchable at specific dates and times, and you never know if you got all of them for a specific month (since some are very rare, and some fish shadows look a lot like other fish's shadows)
Finding out how to attract some of the species in the Viva Piņata games is an extreme hassle. They often involve things such as having an arbitrary number of a certain, easily-devoured pinata in your garden, having a certain number of plants, or keeping a few random items around. Although once you attract them, the in-game encyclopedia will tell you what their other requirements are, some of them evolve after that... and good luck finding those requirements on your own!
Not to mention getting the Twingersnaps or Fourheads, which requires you to breed two Syrupents (or Twingersnaps for the latter of the two), and then hit the egg with your shovel at a precise moment. Did I mention that hitting an egg with the shovel normally destroys it, so quite a few people wouldn't realise that you had to do such a thing? And let's not even get into romancing or attracting Chewnicorns and Swananas....
The Princess Maker games, and their Western sister series, Cute Knight, generally have a number of normal endings that are fairly easy to get by playing the game normally, a handful of straightforward special endings ... then a few special endings that you're unlikely to figure out exist without looking them up in a guide, let alone figure out how to get them.
It also doesn't help that some of the endings are really finicky in that the only difference between getting one ending over another is a difference of a few points. For example, the charisma point being 499 or 500 can mean the difference between your daughter becoming a queen or a concubine (this example being prominent because the other stat requirements besides the aforementioned charisma are identical). Sometimes, you can also have all the makings of one ending, but an excess in an unrelated stat can still change the outcome (for instance, having a particularly high level of popularity as a fighter makes it very easy to become a general).
Let's not forget the "homemaker" ending. Many players have found themselves getting this ending after trying to get an entirely different one, solely because their Housemaker Reputation was too high.
In Westward IV from Sandlot (yes, it's a series), to unlock the fourth crop type, you need to irrigate and farm in a space that also includes a visible mine site, even though there is plenty of area that does not require irrigation. A farmer will eventually tell you that there are traces of peas, so you can then add variety to your radishes (the basic!), tomatoes, and corn. Talk about improbable actions!
Victoria: An Empire Under The Sun is an incredibly complex game simulating political, social and diplomatic turmoils of the 19th and early 20th century. The player has to manage his country's production, taxation, tariffs, army, research, social composition, diplomatic situation, colonisation, industrialisation, all this through a clumsy and unclear interface. There is no tutorial and most releases are devoid of any manual whatsoever. To understand the game, the player has to rely on internet help or spend countless days (not hours) trying to work things out.
Finding out how to do just about anything in Dwarf Fortress is a Guide Dang It. It doesn't help that the in-game manual is completely unhelpful. What DOES help is that there, is, in fact, a guide. The game's wiki essentially forms the instruction manual and tutorial. It's almost certainly required reading if you want to play the game properly, which is why page one of the otherwise useless in-game manual tells you to go to the wiki instead.
One of the biggest criticisms of the X-Universe series is their near-vertical learning curve and poor (sometimes thoroughly erroneous) documentation. The in-game tutorials is, if anything, even worse: they teach you the broad strokes of how to fly and shoot, and that's about it. Thank God for the forums...
X3: Terran Conflict features about two dozen abandoned ships floating around in various sectors that can be salvaged and either used or sold; finding them early greatly alleviates Early Game Hell. Some of them are within Triplex Scanner range of a jumpgate or marked with asteroids, but others are such insane distances away from everything that it's unlikely you'd find them if you weren't specifically looking for them.
Also the Hub plot. Nobody in-universe tells you that you'll need to you'll need to prepare your trade empire ahead of time in order to finish this Fetch Plot in a reasonable amount of time.
Tachyon: The Fringe features about a dozen bonus moneymaking opportunities, none of which offer mission guidance.