Bad cameras in games. Not being to enable the features I want to or disable them. Having to play through most of a game to get to the cool thing that was originally a selling point. Fighting games where its impossible to do anything unless you're a complete master. No new KI game...
One thing that pissed me off was how in Shenmue you had TOO much free time. I want to do something other than run around and "practice" fighting, but alas, the realistic elements of the game get in the way. Another one I'm sure most of us agree with: backtracking.
My largest gripe with games is not being able to do what I want. Why can't I battle my characters in FFX against my buddies'? Why are the rooms that are locked if you never unlock them? Why do some games require you to play from the beginning to see all the cool stuff again?