So, um, what does shift-control-escape do in Windows? I haven’t used Windows in years, but I’m curious now.
Straight to Task Manager. Like Alt-Command-Escape on Macs.
And I just learned that tonight. And I’ve used everything from Windows 3.1 to XP.
I played a good chunk of Final Fantasy VII before realizing you could switch all materia between party members in one shot. I used to exchange one by one.
Sure, I started with 3.1, but IIRC the three-finger-salute used to take you to the Task Manager in older versions. With Vista it takes you to that blue menu thing where you can click Task Manager. So, when my good ol’ Ctrl-Alt-Del got me there, even if a bit slower than I’d like, there was no need for me to go looking for a better way. For all I knew there wasn’t one. Based on other replies here (and on the forum I finally learned Shift-Ctrl-ESC from) I’m not alone.
I played through the first Half Life without realizing that most of the weapons had a secondary attack.
I don’t auto level my own character but with few exceptions I generally autolevel my companions. Who am I to tell them what to train in? 
Ack! If it really worked like that, I would probably still be playing the first Space Quest.
In Mount & Blade (at least in Warband) you can hold the ctrl key to promote whole stack of troops at once. I could have saved a few thousands clicks had I noticed that earlier.
I played Dungeon Siege and its expansion, then DS2+exp (twice each) without realising one could issue commands and what not during a battle - whilst paused. Which I didn’t mind really, as it would’ve the game so much easier.
Or indeed the second one. I don’t know whether “kill the player at every possible point in the game” was part of Sierra’s mission statement then or not, but it certainly felt that way. The most egregious example of this I can remember from SQ3 was:
Pick up piece of metal
The piece of metal you picked up is sharp, so sharp that in fact you cut yourself deeply and start bleeding out. After less than a minute you are dead, your blue corpse a testimony to not picking up everything you see
Mildly amusing I guess, particularly when accompanied with the little picture of your deoxygenated corpse, but not exactly in line with the instructions in the manual to pick up everything not nailed down. 
You can also press Command+Shift+4 and then press the space bar and the cursor turns into a camera that allows you to screengrab a specific window (it will highlight it so you can see exactly what it will capture).
A friend played through the fire level of Legend of Zelda, Ocarina of Time without getting the fire suit that keeps you from being slowly killed every time you’re in the fire rooms. Apparently you have to memorize the layout so that you can just dead-run through all the rooms with fire, and then never get hit by anything, since you’ll only have about half a heart left by the time you beat the final boss.
Unfortunately, you want the fire suit again at the end of the game, and there’s no way to get it once you’ve beaten the fire level.
I played so many games without realizing this that once I did, I went back and re-enjoyed lots of older games with this new knowledge.
That, and I had played three or four different LucasArts games before I realized you could hold down the fire button to get more power to build up for a single shot.
Also, going waaay back, I can’t tell you how many times I’d played Bump N’ Jump before noticing that if you don’t kill a single other car, you get 50,000 bonus points for the level.
One of the Metroid Primes…the recharge blobs and items that enemies drop can apparently be sucked over to you be holding the proper button. I spent a whole playthrough hopping all over like an idiot trying to collect all the individual recharge items.
Doesn’t your version of Minesweeper have the middle-button (or two-button) click on a numbered-cell that clears all unmarked adjacent spaces if there is a full count of adjacent flags? This is how I play high speed, but it only works when you flag the bomb locations.
My story is funny. I play Free Cell. I don’t bother to figure out if I can move a large clump – you just try it and see if it lets you. But as I played, I knew whether the move would work or not! I even thought I might be subconsciously doing the calculation! Eventually I figured out that the mouse cursor presents differently for legal moves vs. illegal moves. I’d been unaware of that consciously, but obviously had learned it subconsciously.
Actually, you can buy it from the Gorons after you beat the Fire Temple.
I leveled my first WoW character to level 52 before I switched from clicking to keybinding/mouse move.
cue angelic epiphany music