Documentation is *somewhat* the issue, but I have a different perspective on it.
What I find myself searching for (in vain, mostly) is anything that explains *why* would I do "x" instead of "y".
There are so many modules available, some with overlapping features, that for me the hardest part isn't answering the question "How do I do this?", but rather "I can see many ways to do this, which of these methods should I use?"
As a specific example, the results on a search for "Theming forms" for Drupal 6 ends up producing at least four distinct and unique ways to do it. Now, I'm sure each of those methods have their advantages and disadvantages, and there are probably some circumstances where each is appropriate depending on the amount of control you need. But nowhere do I find a comparative discussion on that point. So I end up trying all of them to see if I can identify the sweet spots for each. I know I haven't come up with an optimal solution, but it works for me, and fits into the category of "good enough for what I'm doing." I am sure I learned more in the process, but it took a lot more time than I wanted to spend on that issue.
Another example is the process for setting up a simple blog. I saw an article somewhere else (can't find it right now) that stated that if you wanted to set up a blog, you don't want to use the blog module! Their opinion of the "best way to do it" was to use views and (something else I don't remember). I remember thinking that it was an interesting idea when I read it. It wasn't an intuitive solution, and the author never explained _why_ you would make that choice, or how they came to that conclusion. But it was a creative answer to a fairly common question. Unfortunately I was left wondering, is that a good idea? Or is that just one person's opinion?
(I'm sure I could come up with other issues, but this response is too long already.)