From a reader's point of view, surely the worst thing must be buying Book 1 and realising that you can't get Book 2 right away, and that the finale is not going to available for as long as a year or two. You have to pause one third of the way through, and again before the end. You forget what happened earlier. You curse and wait, sometimes longer than normal, as a writer struggles with the ending.
If you buy them as they come out but don't read them until you have Book 3, well you may find you hate Book 1 and have bought two more books you will never read!
Even if you don't come across Book 1 until years after it was published and decide to try it then, you have to be careful. You may never find Books 2 & 3 - they are out of print.
For the trilogy writer, the problem is more profound.
The recent Man-Booker prize winner is supposed to have taken eight years to write the winning novel. Look at any mainstream book of real calibre, and you will probably find the author spent at least 2-3 years writing it. They took their time. They crafted every sentence with care. They paused and took time out to stand back, to let things gel before proceeding to the next rewrite.
Most of us trilogy writers don't get that chance. The public wants the next one NOW. The publisher wants it as soon as you can deliver. We have a much more complex story to write and we have to do it one third the time. Because we write fantasy, we often get told our work is inferior by people who haven't even read it. Possibly they are sometimes right - but on quite different grounds. We are obliged to write much quicker, with less time to craft.
It's a wonder we aren't all on Prozac.