I played about 20 hours into Fallout before I realized you could rest.
Oh, wow, now that one sparked a sudden flash of memory. In my case, it was the other way around, but in Oblivion, for some reason it took me around a dozen play sessions within something like a week after I bought the game before I realized that I HAD to rest to level up at all (and I knew about the very feature of resting in itself). And the worst part is that I do believe that I got some form of a notice on the screen about the fact that I was indeed ready to level up, although I'm not sure about that anymore, it's been so long. I must have left my mind somewhere up in the clouds for that entire week.
Another one I can think of right now is with Dragon Age: Origins, two things from that one. First, like someone else mentioned, I as well only noticed much later on (something like during my third play-through) that I could extend the skills bar towards the right side of the screen to include more skills, and coincidentally I was playing a Mage in that play-through, quite useful!
And, last but not least, I still clearly remember to this day that for the ENTIRE first play-through I just wasn't aware of the objects highlight feature at all (now moved to my TAB key). Since I just wasn't even aware of its existence you guys can guess how many codex entries and various chests and interactive objects I missed by not highlighting stuff as I played. So when I discovered that feature very early in my second play-through (somewhere during the siege at Ostagar) you can bet how many things I found that time around, I literally rediscovered the entire game as if my first play-through never happened, and of course I also felt incredibly stupid for having missed the feature at all during my first play-through. My reaction upon discovering the feature was something along the lines of a couple of swearing words, followed by heaps of frustration for having "lost my time" in the first play-through without it. Suffice it to say, that my second play-through lasted almost twice as long as the first, it was very thorough.
I could certainly think about similar situations where I discovered things in various games much later on, but to be honest I'd rather not try to think about that too much, sometimes it's almost better not to be aware of what you've missed, especially if the games in question are too old today to even bother going back at them to try them "properly" again, but that's just me heh.