You have not missed a thing. Lesson was the first module in a Standard Moodle to put dependency settings in it. Conditional dependency will be a feature in Moodle 2.0 that will include all activity modules and resources.
There is the Activity Locking contributed module(s) that come in various flavors for various Moodle versions. This contributed code(s) should be replaced with the Conditional dependency feature in 2.0. I always advise people to understand the impact when you install AL, it hacks into at least one standard moodle php file. I have a love/hate relationship with it
Other work arounds. Some place the password code for a quiz in a lesson. Not really great but might work if it was an online course and no student to student communication. The latest version of Certificate module, contributed code I also use, will allow you to add various dependencies based upon specific activities. Check out the add/edit settings for features for things like emails to teachers and others. This does not solve the progression of "student must complete lesson(s) before taking a quiz". But it does insure that they will not finish the course (get a certificate) without having done both
Activity Locking is where you want to look. Others may have a different opinion.
Best Chris