Of all basic principles of classical physics, realism should arguably be the last to be given up when seeking a better interpretation of quantum mechanics. We examine the de Broglie-Bohm pilot wave theory as a well-developed example of a realistic theory. We present three challenges to a naive reading of pilot wave theory, each based on a system of several entangled particles. With the help of a coarse graining of pilot wave theory into a discrete system, we show how these challenges can be answered. However, this comes with a cost. In the description of individual systems, particles appear to scatter off empty branches of the wave function as if they were particles and conversely travel through particles as if they were waves. More generally, the "particles" of pilot wave theory are led by the guidance equation to move in ways no classical particle would, involving apparent violations of the principles of inertia and momentum conservation. We next argue that the aforementioned cost can be avoided within a retrocausal model. In the proposed version of the pilot wave theory, the particle is guided by a combination of advanced and retarded waves. The resulting account for quantum physics seems to have greater heuristic power, demands less damage to intuition, and moreover provides some general hints regarding spacetime and causality. This is the first of two papers. In the second [E. Cohen, M. Cortês, A. C. Elitzur, and L. Smolin, Realism and causality. II. Retrocausality in energetic causal sets, Phys. Rev. D 102, 124028 (2020)., 10.1103/PhysRevD.102.124028], we show that, in the context of an explicit model, retrocausality, with respect to an effective, emergent spacetime metric, can coexist with a strict irreversibility of causal processes.