The Kalman filter. I felt like I understood it watching some videos but it always turned out I didn't really understand it well enough to put it to use or explain it to others. Gaining a better understanding ultimately just took a lot of time playing with the equations and understanding how measurement and process noise/uncertainty get incorporated into the Kalman gain, and how that in turn affects the updated state…
Dr. Mark Colyvan once preparing for his test couldn't understand a proof. So he went ahead and tried to memorize it anyway but in the process of memorizing he understood the proof so he had no need to memorize it now.