Arcadius made a good point in the comments yesterday about the difficulty you can run into in a game if you miss an aspect of play or of stat interaction or the like and end up handicapping yourself without even realizing it. Getting into that state can lead to you feeling underpowered and getting fed up with the game. Then, eventually, you find out you've been doing it wrong, often when you start searching around on the internet to find out why your chosen class is so incredibly underpowered.
This, I think, is a major cause of the need people feel to do a lot of out of game research. It's one thing to play a non-optimal way by choice, it's another to not even realize that if you geared a different way, or had spent your talent points differently that you could be having an easier time. The thing is, I think a lot of the blame for this is on designers. The two big problems I see are complexity for complexity's sake and poor feedback.
A lot of times it seems like complexity gets added into a game for no other reason than it can be. Possibly the belief is that a more complex game will be deeper and thus provide more play time. The thing is, time spent trying to figure out how the game works is not play time. It's some weird sort of meta-play time. For some people it's fun, maybe even more so than the game itself. But for the average player, who's not an elitist jerk, it's usually a slog keeping them away from the actual game.
Worse, complexity is not depth. Think about chess. Certainly a deep game, lots of strategy, people get really serious about it. How complex is it? Not very. There are 6 different pieces each with a very straightforward set of move options. The depth comes from the combination of those simple parts creating a myriad of options. The challenge of chess is not in figuring out where you *can* move, it's in deciding where you *should* move.
World of Warcraft definitely had an increasing complexity problem for a while. Armor penetration and reforging come to mind immediately. You'll notice the former was removed in Cataclysm, and the latter is going away in the upcoming expansion. There's a reason for that; they didn't really add anything to the game. They were additional complexity that just made it that much more necessary to rely on Mr. Robot to tell you what gear to look for.
The second problem, especially when you have extra complexity, is poor feedback. Some games do it by design, hoping to stop the theorycrafters from determining the 'correct' build. Others just have unhelpful tooltips. The end result, however, is players who don't have full information about how their characters function. Players need accurate information to make informed choices. If full information is overwhelming, that's a good sign that the game has gotten overly complex. And hiding information to dissuade the theorycrafters just isn't going to work. If they have to record their play and count pixels on a health bar to try and determine damage output, someone will do it. Don't hide data because you're afraid someone will solve your game. Make a game that resists an optimal solution by being truly deep.