Ya, see, for me "The Princess is in another castle" was a WTF moment for me. It's not when it happens the first time...it's when it happens multiple times that it's like "Come on!" especially when you only have a couple of continues. Most people miss that because most people use the warp pipes in 1-2 to get further along into the game (or use the 99 lives trick). Playing through all the levels, knowing you will play until you win, and then dying and having to go all the way back to beginning makes the prospect of the game being at least one level longer absolutely infuriating. It is practically taunting you to keep playing.
You young'uns don't understand that. You lived in the day of save points and unlimited continues. You think "what could be wtf about having more content?" But back then many games were one serving affairs (most had passwords, but were too complicated or convoluted to use), and you either beat it or you didn't. As much as you may have paid for the game, you don't want it to last longer because then you may never get to the end. I have scores of NES games that I never completed because I just never had the patience to play through it all in one setting. It's like if Metal Gear Solid 4 had to be played in one setting. What would you think of the cutscenes then? If Super Mario Bros. hadn't been so damned awesome, I think a lot of the people would have simply turned the game off after the 5th level. So there's why it's #1.
