The player changes from one level to another and somehow it feels like he did not have any progress or, even worse, it feels like he receded. This can frustrate the player and make him/her believe his/her skills are not worth it - that all that was done so far is useless. And if for any reason the game needs to take from the player an item he already has (or block a map that is already unblocked, or go back in narration with travel time making the player repeat the same actions), the game needs to do it in a engaging way, showing not only the reason why it is happening but also being smooth about it, so the player will not have the sensation of being cheated.
Example 01: The most recent and strongest example I have in mind is "Bravely Default", a game multiple friends felt cheated and stopped playing when reached a specific chapter in game. I would like to paraphrase one big disappointment statement I found in a game page discussion to illustrate it better:
"I just reached Chapter 5 and was "oh, seriously?". After 50 hours it felt like a kick in the face. It not ruined all the amazing journey that was Chapter 1-4 (oh Edea, you're in the hall of My Favourite Characters Of All Time), but sure it downsized the game to "Shadow Of Colossus" minus the feeling." - from: http://kotaku.com/so-what-did-you-think-of-bravely-defaults-second-half-1527777781
Example 02: Super Ghouls 'n Ghosts
The Super Nintendo game Super Ghouls 'n Ghosts demonstrates this perfectly. Once you have completed all the levels a cut scene occurs in which the Princess that you have worked so hard to save says that you can not beat the final boss without the Goddess' Bracelet. She goes on to tell you that she was barley able to hide it along the way before she was capture. You then start at the beginning of the game and need to beat it all over again....