A lot of other posts reflect my thoughts on this, but I too would rather find out stuff as the character does. For instance, we think that the protagonist got away from a trap set by the antagonist, only to realize that they either stepped into another one, or the first trap was never a problem.
Some kind of silly examples below, but this is all I could think of right now.
For me anyway, I'd rather find out stuff as the character does, so that when it's revealed, we smack our head and say "Why didn't I see that coming?"
I hate it when a character does something most people would normally never do, such as running into that big scary house, or opening the door where you hear some creepy noises coming out of.
spoiler alerts----------------
For example, in Speed, the main character (Keanu Reeves) stops a guy from blowing up a building (or was it elevator?). Problem solved, we, and the character assumes.
Then in the next scene, the character is walking down the street, only to see a bus explode. The bad guy then calls the protagonist and tells him that more bombs are set up, and if he wants to stop them, he'd better act fast.
In another example, in Stargate, one of the characters (Kurt Russell's character) brings an atomic bomb, which no other character knows about, to blow up the portal to a new world they just recently uncovered.
Unfortunately for them, the bad guy discovers this bomb, and intends to use it by sending it back to Earth with some stuff that would make the bomb even more powerful. He further complicates things when one of the good guys tries disarming the bomb, only to realize they can't because the bad guy rigged it so that would continue to count down regardless.
In perhaps the most referenced movie for this example, in Sixth Sense, the psychiatrist (played by Bruce Willis) is obsessed with trying to help a little kid after his apparent failure at saving/helping another guy, who then shoots the psychiatrist and then himself (in the head). The little kid claims he can see dead people, but nobody seems to believe him. And while Bruce Willis tries to have some conversations with his wife, she seems to totally ignore him, perhaps showing that their relationship may not be as good as it was in the beginning.
We later find out towards the end that Bruce Willis himself is in fact dead as well, but like the other ghosts the little boy was seeing, he refused to accept that fact till the very end. Again, there are clues to this, but it's so subtle and we get distracted by those other scary ghosts that we never really pay attention to that fact till the end.