Contact/Talk. This thing was difficult to understand in Persona and Persona 2, though it was fortunately made easier in Persona 5.
The first game, the player could choose to Contact demons/Shadows and talk to them, in hopes of getting them to join the party or gaining a spell card, item, or simply experience points, free healing, or money. Their emotion was based on color, with certain actions increasing a certain emotion/color, and said emotion/color needing to be maxed out to get the result the player wanted. Either a guide or some very patient trial and error would let the player know which character's actions influenced which emotion, to ensure getting the desired result.
Persona 5 simplified things by having demons have one of four personalities, and those having preferred dialogue options. And if the player had party members with Confidant abilities unlocked, they could step in and improve the mood of the talked to demon, giving the player a second chance.
Persona 3 onward, the Social Links/Confidant events. The player is given dialogue options throughout the event, with some being the best option to pick as it leads to the most Social Link/Confidant points gained and others that either gave less points or none at all. And some of those choices never gave points because that particular instance of dialogue options just plain don't matter. A guide is the simplest solution to figure out how to increase the Social Link/Confidant rank with as little time spent as necessary.
Creating certain Personae with specific skills, which fulfill Elizabeth's requests in Persona 3, and form the basis to rank up the Empress and Strength arcana in Persona 4 and Persona 5, respectively. Unless the player has a guide nearby or is willing to do a lot of experimenting, these are incredibly difficult to fulfill.
Gaining the 5th party member, especially if the player wanted a specific one out of the available options. Out of the three 'regular' fifth member options, the player could only get a chance to recruit the second or third option if they had rejected the previous option. Sounds simple enough, if the player is told about this early on, but...
Recruiting Reiji, the 'hidden' one, as your 5th party member is notoriously difficult. Reiji appears for a few scenes here and there in the game, and the only hint that he's a recruitable option is during a point in the game where he will join the party for a battle, but only if the player already has a 5th party member, meaning the player needs to keep this in mind for a different playthrough. In order to recruit Reiji, the player needs to go out of their way to do a lot of things, many of which are counter-intuitive for any player of this type of game, and even involve a step of talking to his mother at a specific point once, but not talking to her again. And the player must also reject all the other 5th party member options, and go through entire dungeons with only four party members, which was an unnecessarily difficult feat.
Accessing the Snow Queen quest required the player to have a guide or include obsessive exploration, particularly focusing on an odd chain of events at a time when there are better things to do plot-wise. However, the kindness comes in that the chain of events is hinted at very early, and once the first event is found, the ensuing chain of events follows a rather logical streak to unlock.
The choices in the SEBEC route that determine what Ultimate Persona gets unlocked for Fusion. Three of them are pretty obvious, but one defies standard RPG logic and is just barely obvious if the player thinks about it. And the other two require the player to go out-of-character and listen to the idealistic Masao, rather than making informed decisions between him and the logical Nanjo.
Getting a Fool card is a chore. It requires Contact, which is already mentioned to be a guide dang it in itself, and the player needs to elicit an Eager response, with a demon that has a Fool personality. And then answer its questions to swing back between an Anger and Eager response three times in a row, and then it's still a matter of luck if it even asks the full series of questions that allow the player to get the card. An emulator and save states are just a way to make this colossal pain a little less painful.
The first one is Maia Custom. To get her, you need to tell Ulala's ex that he's wrong and that Joker Ulala is a nice person. Pick the other choice and she's lost forever. Then you need to equip Maia and wait for her to mutate. Wait, you released Maia already? Tough shit.
The Ancestral Personae. In EP, they form the basis of a game-spanning sidequest, and just meeting the requirements for doing it isn't enough, as the player requires a Fool card to summon the last Persona... and as mentioned above, getting one is infuriating. All of this, just to insta-kill a boss that wasn't very difficult to begin with.
Hastur is a unique Persona and incredibly strong, and the player can collect its card for free early in the game. In order to get Hastur's card, the player needs to talk to a specific NPC and input HASTURCOMEFORTH into a text prompt. Supposedly, there is a demon that will give this information when getting into Contact with it, but no guide or anything has been able to point out which one it is. Though getting it early is useless because the party needs to be at a pretty high level to summon it.
Mot, Pallas Athena, Shokuin and Michael all are obtained through mutating specific Personae which normally mutate into Minor Arcana Personae (two of which actually mutate into the same Persona). However, there's a 1/8 chance that Seth, Scathach, Wong Long, and Amurdad respectively will mutate into the listed Personae.
Getting Alice in EP. The player needs the Karma Ring, which means the player must have gotten lucky in the sweepstakes or has returned a Junnosuke Kuroda persona (4 Fool cards). Then they need to run around the 8th area of the Bomb Shelter, and the Estoma trick is highly ill-advised this time around. The reason is that, unlike other Persona demons, the player needs to be at level 80 and Contact her, which is something that's never been a possibility with other Persona demons. And then the player needs to meet and Contact her a second time around, and getting the Champion material card. And all of this presumes that the player didn't actually encounter Dark Alice, a monster with three high-damage spells that simply wants to kill the party. And for an extra annoyance, Alice is Awesome, but Impractical because, upon getting her, her skillset is very poorly put together, despite her resisting every element and physical.
Bonus Contacts and Conversations in EP, such as 100 Stories, Songs of a Baseball Fan, Flamenco de la Passion, etc. These are only available by speaking to party members at specific times and places while on the world map or, for 100 Stories, in a dungeon. Missed the timing to grab one? New Game Plus is the only way to get it. IS was just as bad as EP in this, as the player could actually lose or gain Contact methods just by saying or doing something during certain scenes.
The EX Dungeon for EP has a powerful Hanged Man Persona called Azazel, who is really nasty and packs an amazing sword technique. To obtain him, the player needs three additional Hanged Man Persona to even initiate a Persona talk with him: Shax, Barbados, and Adramelech. Each of them must initiate a Persona talk with him. The only clue the player gets is that Azazel is a demon of hell, and that the player is using three Personae that have roles in the hierarchy of hell, to get him to join. And this all assumes the player can even survive in the dungeon long enough to meet him.
The questions asked in classes are those that a Japanese highschool student is likely to know, especially those by the Samurai-obsessed history teacher. These questions were left unchanged for the English release, so good luck answering them without a knowledge of Japanese history or a handy guide. On the other hand, some of those questions involved English grammar, something that would likely stump a Japanese highschool student, so it goes both ways.
Personae have 'inheritance types'. Phyiscal personae cannot learn magic, death/darkness Personae cannot learn healing spells, status buffs, or Hama skills, etc. While Igor does mention inheritance types as one of his help topics, would it have been that difficult to have the inheritance type be listed on the Persona screen itself? Some are easy to figure out — a Persona that starts with mostly Ice magic will usually be an Ice inheritance type — and others are just bizarre — one Persona starts with healing spells, ice skills, and wind skills, and the player would assume it's aligned towards magic, when it's actually a Pierce inheritance type, making it physical.
The Shadow Shard and Shadow Crystal requests from Elizabeth in the original version. These were found in treasure chests, which would appear only on certain floors, and it wasn't even guaranteed that a treasure chest with one of these in it would even spawn. Worst of all, Elizabeth gave false information on what floors they appear on. And nothing in the game informs you of any of that. Trying to find these without a guide was a very strange definition of 'fun'. This feature was so bad, it was yanked from FES and the PSP remake. It was replaced by the Elizabeth Dates — Theodore Dates, if the player was playing as the female protagonist in the PSP remake. And these things ended up permanently missable, if the player put one of them off for too long. Still an improvement.
The best Personae in the game are generally considered to be Thanatos, Messiah, Satan, Helel, and a few others. The problem is that the best fusions require other special fusions as their material. The player needs to remember to do Elizabeth's 29th request, or they miss out on the item required to fuse Nata Taishi. And without Nata Taishi, one cannot fuse Alice, who is required to fuse Thanatos, and who is needed to fuse Messiah. And Orpheus Telos is made by fusing Thanatos and Messiah, so missing out on one innocuous-looking request means the player has lost that playthrough's chance of fusing him.
FES and the PSP remake add Orpheus Telos, a super-powered version of the protagonist's default Persona, Orpheus. This Persona was tailor-made for the Bonus Boss, as Orpheus Telos resists all elements and physical attacks — any equipped Persona that may be immune to, absorb, or reflect multiple elements result in the Bonus Boss using a 9999 Megidolaon on the player. In order to obtain Orpheus Telos? The player needs to max all Social Links in one playthrough. The game is notoriously difficult to achieve this, especially if any player may be masochistically-inclined enough to attempt this on a New Game, where the player must also balance in the increasing of social parameters. And several Social Links involve needing a certain rank in a parameter to start or complete.
The Social Links for the female protagonist in the PSP remake.
The Fortune Social Link has a ridiculously rigid schedule because the player can only hang out with Ryoji Mochizuki on certain days, and the entire Social Link is only available for one month. Overall, the Social Link is easy enough to max out, if the player chooses to forego whatever they might have had planned, and focus solely on always hanging out with Ryoji when possible. But unless the player knows that missing a single opportunity to hang out with him means the Social Link cannot be maxed out...
The Moon Social Link with Shinjiro also has only one month to complete it, albeit it's a little more lenient on not having to hang out at every opportunity, unlike the Fortune Social Link. But in order to get onto the Lovers route with Shinjiro and preventing his imminent death, the player needs to hang out with Shinjiro after his Social Link has been maxed out, despite the game telling the player that there's no reason to hang out with him anymore.
Akihiko's Lovers route is also very frustrating. In order to get onto it, the player needs to answer three of his Social Link questions in specific ways. One is really obvious, but the other two aren't — the first of those is in his Rank 4 event, where the player must choose the wrong answer. And Akihiko's link takes a very long time because the player needs Rank 4 Charisma to even start his Social Link, he can only be met twice a week, and his Rank 8 event is delayed until after October 4th. It's also impossible to know if the player has screwed up until Rank 9 or 10, which generally don't occur until November.
Avoiding the Bad Ending. After several long, and very emotional scenes, the player is finally given the chance to choose dialogue options again. The problem is that the player may be just as irrational as most of the characters at that point because Nanako was just declared dead and may want to punish Namatame for being at fault for this. What the player needs to do is to pick non-intuitive, very vague options like stalling for time or just hinting that "Something's up..." and not knowing the whole truth. Even Yosuke snaps at the protagonist to get to the point already. But those vague answers are the correct choice, leading the player onto the Normal Ending path.
Getting onto the True Ending path is even worse. The True Ending path isn't a choice until the very last day of the game, when the protagonist is going around Inaba and talking to any maxed out Social Link character. After having talked to them all, the game gives an automatic prompt that asks the player if they want to return home. The player needs to ignore that message and choose to head back to the Junes Food Court, despite everything in the game telling the player to go home. And for an extra kick, the player needs to check the elevator to the Food Court twice because the first time merely results in a message very similar to messages from locations where the player really couldn't do anything further. This is just the game being mean to the player, when it was previously rather kind in not misleading them.
The requirements for unlocking the Bonus Boss are numerous. The player must be on New Game+ and have completed the Empress Social Link, but must also have gone and defeated the extra boss that appears in every dungeon after the kidnapped person has been rescued. The last one is something the player may have done, anyway, but nothing indicates that this is needed to unlock the Bonus Boss. The absolutely worst part, though, is that the player must unlock the True Ending path and get the Orb of Sight, but must then go straight to the Velvet Room before heading to the gas station as that one step means the opportunity to face the Bonus Boss has been missed. To make things even more counter-intuitive, if the player attempts this without having met all the conditions, the location says the player has no business being there.
Golden adds one for the new bonus dungeon. All of the guides say that the player must merely max out Marie's Social Link before the end of December, and then ask Margaret about Marie's where-abouts after New Year's Day. But even so, the player can still end up making a mistake and locking themselves out of the dungeon. Margaret says that tracking Marie down could be very dangerous, and the player has the option to choose to not go. This sounds like Margaret is warning the player of heading off to a new dungeon without being fully prepared, and having the choice to first go and get new equipment... but it isn't. Talking to Margaret means the player has locked themselves into the one opportunity to go to the new bonus dungeon. Saying no at this point means the player cannot go, which will affect how certain end-game events will play out, and denies the player the True Ending path's Epilogue.
Golden adds costumes for the party members. While most are obtained automatically or bought from the fashion store, a few have more arcane requirements:
Four costumes require you to pat the Fox's head in the TV World when the Fox is "in a good mood". The Fox is only in a "good mood" on specific dates, and you'll only know these dates if you have a guide as there are no hints towards them in-game.
Kanji's work apron requires you to talk to his mother in the shopping district after getting his Social Link to at least Rank 8.
Naoto's Girls' Yaso Outfit requires you to be on her romance route, choose a specific option at Rank 10 of her Social Link (dialogue choices typically don't matter for Rank 10s), and choose her to spend Christmas Eve with. (And you have to complete December's dungeon before the 23rd, or Christmas Eve is skipped)
Stores sell gifts, which the player can give to Confidants in order to earn Confidant points and make it easier to get the next Rank event. And certain gifts do seem to be meant for certain characters, but others are a lot more vague on their intended target — Ann absolutely loves the Snack Pack, while Futaba simply likes it — and will require the player to either waste money, and time, to figure out what gift is best or use a guide.
Creating Skill Cards requires a guide because how the player obtained the Persona plays a part in determining what Skill Card is obtained. Nothing in the game explains this. Fortunately, stronger and special summon Personae don't have this problem, but more common Personae will have two different Skill Cards to give, depending on if the player Itemized a Persona or gained the card through negotiations. Gaining the Megaton Raid Skill Card must be negotiated by Cerberus, as itemizing Cerberus will simply give Agidyne. And some Personae will give the same Skill Card, regardless of Itemization or negotiation. Fortunately, the Itemization menu shows what item a Persona will turn into before doing it, but it's still frustrating to not know this earlier.
When infiltrating a Palace, the player is given a certain number of in-game days to complete it. However, the player isn't told that completing a Palace usually requires three in-game days to complete. Reaching the treasure and securing the Infiltration Route makes up the first part, but then the player must wait the next day to send a Calling Card to inform the Palace's ruler, and get the treasure to materialize, so the Phantom Thieves can even steal it. And the next day, the actual stealing occurs. Fortunately, the game tends to inform you of your absolute deadline day — meaning the day the player must send the calling card — from the second Palace onward. For the first Palace? No such thing, though the game has other ways to ensure the player has nothing left to do but go through the Palace, the closer the deadline approaches.
Upon seeing a boss charge up a powerful attack, the first instinct for a player is to put everyone on guard. However, several instances in the game prove this to be the wrong choice. The Sphinx has an attack that charges for more than one round, and nothing indicates when the attack will actually hit. Which is a plot point for that battle, as Futaba must join the party to be able to accurately depict when the attack will hit. The biggest offender is the Final Boss battle, as its Last Ditch Move will end up being a party-wide KO because it's too powerful when simply defended against. The player must actually have the party defeat its Cognizant Limbs or debuff its Attack to ensure survival.
Several Personae have very specific Fusion recipes, but nothing in the game informs the player of them. And some of them don't even show up as a possibility in the compendium, until the player has already fused for. As an example, the player must fuse Gabriel, Raphael, and Uriel to obtain Michael.