While I can agree with a number of examples in this thread (wtf Zodiac Spear???), my personal favorite Guide Dang It moment is trying to get the true ending in Valkyrie Profile. Try doing it without a step-by-step walkthrough. You will never succeed unless you play the game over dozens of times, taking note of every little discrepancy between phases, and even then, it's not certain you'll figure it out.
Oh, and even if the stars aligned to see your path along to the true ending, if you gave up Lucien to Asgard before seeing his special cutscene, you can kiss all of it goodbye. Keep in mind, there is no indication that sending him up early or later will have any consequences whatsoever. Another thing to think about is that to activate this special cutscene, your Seal Rating has to be low. If the game told us what the Seal Rating even is, or how to manipulate it, this could've been mitigated, but they don't. The only time you see it fluctuate is when you make Odin happy by sending him warriors and such. Doing this:
a). Raises your Seal Rating, not lowers it.
b). Is what the game says you should be doing.
There's a couple other reasons, but the point is, Valkyrie Profile's mechanics and storytelling not only never clue you in to anything regarding the true end, but in some cases, the game actively tries to sabotage your attempts, without giving the player reason to doubt its judgment.
...Still LOVE this game, though, lol.