Paul Graham has published an essay in which he explains the (very recognizable) lessons that are hardest to learn for startups. To me the most important one is number 4, "Fear the Right Things".
"Almost everyone's initial plan is broken. If companies stuck to their initial plans, Microsoft would be selling programming languages, and Apple would be selling printed circuit boards. In both cases their customers told them what their business should be-- and they were smart enough to listen."