Some characters in the Mythos tend to believe they have superhuman powers of some sort. While this is mildly acceptable for the proxy variant, it also encourages players to start 'playing up' their character, losing sight of what the story is truly about.
Such power creep is generally due to people wanting to play Author Avatars, as in, they themselves are the character in question, and thusly wants to 'win' the Mythos.
Others tend to decide they have powers to simply make things more interesting, however in the greater Mythos, most players tend to ignore such thoughts, as it detracts from the horror genre itself.
Also, do not confuse Roles with Powers.