I think I've posted about this before, but playing the NES Ninja Turtles, a friend and I spent 30-45 minutes trying to cross this one stupid crack in the second level of one area, tried a dozen or more times trying to jump across... only to realize that you could simply walk across it easily. We just stopped for a moment staring in shock before a major *facepalm* moment.

There's also been plenty of times when I knew I needed to head east/west in a game, and obliviously went far west/east instead. I think the worst one was at a 2nd or 3rd playthrough of Suikoden II I knew I needed to head west to Lakewest (go figure), and then went straight east and couldn't figure out where it was. It probably took me 5-10 minutes to realize my stupid mistake. And it's especially weird since I never have trouble with such directions in real life.