Andrew Lamb from Camshaft software has issued a list of naive misconceptions which have been squashed releasing his first game.
Over on a Gama Sutra blog, Lamb outlines several beliefs he had (or may have had) at the beginning of his time working as an indie, and which of those need to be cast aside when setting expectations.
Some of them, such as ensuring that you've access to a viable marketplace and that, in spite of far too prevalent indie belief, you don't need to do any marketing.
Others are valuable insights dispelling such myths as that if you reveal your idea too early, others will steal it, that you will necessarily be able to build your dream game and also have it be a commercial success, and that if you build it, as the saying goes, they will come.
It's very much worth a read for any first time starters.