A problem I seem to run into increasingly often in games is that I'm shown a goal my character doesn't yet have the skills or other means to reach and am not informed of this limitation. In other words, the goal/achievement is listed or shown somewhere, and I spend an hour trying to achieve it before realizing that I'm not supposed to try yet.
For example, The Saboteur has a Perks section in the pause menu. If the player accomplishes specific tasks (kill 5 Nazis with a scoped rifle, blow up 10 radio towers, etc), then a reward (extra ammo, less sniper sway, etc) is unlocked and the player can try to complete the next level Perk. One of those Perks challenges the player to blow up four train bridges. Well, I've been to a number of these bridges now, large and small, trying to figure out how to blow them up and it doesn't seem possible.
Apparently, some future mission(s) will unlock my ability to destroy the bridges. The problem is that I wasn't told that... and since I have been able to destroy every other Nazi target with dynamite charges, I had no reason to assume bridges are any different. So I wasted an hour or so trying to figure out how to do something I can't do.
Overall, I'm enjoying The Saboteur. I'm just using that as an example of a problem I've experienced in many games recently.
A developer has options. First, you can hide a goal/object/area until it is achievable. Second, you bluntly tell or show the player that the goal will become achievable later. Or you can ensure that it is impossible for the player to encounter the goal until it is achievable. There are probably other options as well. In any case, the problem is relatively easy to avoid if taken into account.