When I first got my PokeWalker, I was shaking it around/walking when shaking didn't work, trying to level up my Pokemon, only to realize that you could only gain one level per walk.
Another PokeWalker moment, is when I was trying to get a Kangaskhan, but all I kept getting were Doduos. Now this was before Serebii updated their site with more information, so I had no idea that only one of the Group A Pokemon would show up and not both of them.
An in-game moment was that I thought my Pokemon were seriously under-leveled, but I had gotten tired of training them in Victory Road, so I decided to fight the Elite Four so I could get more experience. I managed to beat them all with most of my team in the low 40's...
Also, when I went to capture Lugia, I didn't have Flash or an Escape Rope, so after I caught it, I had to wander around in the dark to get back to the way I entered, only to realize I was on the wrong side of a ledge, so I had to wander around even more until I found an Escape Rope.
Also, this is just something dumb. The sign for Mahogany Town says: "Home of the Ninja." I find that a fail, since you're not supposed to know where the ninjas are! Ninjas don't just reveal their location for all to see, they are masters of stealth and secrecy. *rants*