Adding additional guidance to pretrained diffusion models has become an increasingly popular research area, with extensive applications in computer vision, reinforcement learning, and AI for science. Recently, several studies have proposed training-free loss-based guidance by using off-the-shelf networks pretrained on clean images. This approach enables zero-shot conditional generation for universal control formats, which appears to offer a free lunch in diffusion guidance. In this paper, we aim to develop a deeper understanding of training-free guidance, as well as overcome its limitations. We offer a theoretical analysis that supports training-free guidance from the perspective of optimization, distinguishing it from classifier-based (or classifier-free) guidance. To elucidate their drawbacks, we theoretically demonstrate that training-free guidance is more susceptible to misaligned gradients and exhibits slower convergence rates compared to classifier guidance. We then introduce a collection of techniques designed to overcome the limitations, accompanied by theoretical rationale and empirical evidence. Our experiments in image and motion generation confirm the efficacy of these techniques.