I agree about the initial investment required. It's not so much because you need lots of supplements but because you really have to realize that your covenant is going to be the most important 'character' of the game.I'm gonna add "Ars Magica" to the list. (I'm qualifying "Buy-In" as being more than just a monetary drop.)
Creating an interesting covenant with enough details to stay interesting for a campaign spanning 100 years or more is a daunting task. We managed to pull it off and distributed the work, each of us would create 5 grogs, a companion, a magus, a parens, a lab, books and spells for the library, allies and enemies, etc.
We also adopted the troupe-style, each of us would select a certain theme for our adventures, i.e. one concentrated on the nearby faerie forest, one on a rival covenant, etc.
Unfortunately, it didn't last as long as I would have liked. We played about 5 adventures then different preferences pulled the setting apart. I guess, one of us should have been made the 'main storyteller' to decide on the direction the campaign should take.
As others have mentioned what makes some systems difficult to get into is that the setting is quite exotic. Even several D&D settings suffered from that problem, e.g. Darksun, Planescape and Spelljammer.
It really helped me to have read a couple of Darksun novels - I don't think I would have been able to DM it otherwise.
Planescape I didn't dare to try. Since most players find it difficult enough to properly portray their alignment I didn't think adding philosophical factions that were mostly quite odd would make things any easier. Sigil, the Outlands and regularly hopping all over the Multiverse? That was really way out there.
Spelljammer - I never like the underlying ideas so I cannot say much about it.
I think there's a third category of systems that are hard to get into. It's settings that cater to a very specific roleplaying experience. For me Wraith is the most obvious example in this category. Call of Cthulhu is another one. To a lesser degree Pendragon, Ars Magica, and the rest of the WoD bunch fit into this category as well.