My favorite baffling RNG bias was in the game Maplestory. It always seemed like RNG was extremely "clumpy". For example, critical hits would frequently come in bursts - you might get around 5 seconds of non-stop crits.

The crafting system was heavily chance based. You'd get say 7 attempts to augment a piece of gear, using 'scrolls' that had a certain percentage chance of succeeding. The lower the chance, the bigger the improvement to your gear. So a pair of gloves that had 7 successfully applied +attack 10% scrolls would be incredibly valuable. The superstitious method to crafting (which, anecdotally, worked incredibly well) was to get a ton of gloves and a ton of scrolls, and apply one scroll to one pair of gloves and throw them away if it failed. Once you had a single success, you would apply the scrolls as quickly as possible to try and ride the RNG wave. In my experience, this would very frequently result in getting 3+ successes in a row.