Super Mario Brothers also did this. SMB was one of the first games that scrolled, so very soon after starting, a goomba appears from the right to tell you that you can move to the right. If you don't jump over or on it, you die, learning that lesson. Once you learn that lesson, you are under some blocks, and another goomba appears. You jump over it, but in doing so, you are forced to hit one of the blocks above you, which causes a mushroom powerup to appear and flow above you in the same direction. It falls down, hits a pipe in the way, and comes in your direction. This is timed so that it's unlikely that you will avoid touching it - which you have so far been taught to do, since it's quite similar to a goomba.

The first two screens of SMB are deliberately designed to teach you the basic rules of the game without actually explaining them to you.

Anna Anthropy has an older blog article about exactly that:

http://www.auntiepixelante.com/?p=465

Hah, I was going to post the same link. It’s an excellent analysis, though: show without telling, make mechanics simple and environments rich, and teach the player without “bloop MEGAMAN MEGAMAN!”

Yeah, Roll popping up and explaining shit was one thing I hated about Megaman Legends. Pretty good game otherwise, though.