I don't know what all goes into making video games, so maybe they can't help it with the technology so far, but I hate seeing characters' arms, legs, feet or other body part go right through the scenery like they're phasing in and out, alá Kitty Pryde.
It just looks sloppy and unprofessional.

having to kill 1000 enemies just to get through a door, or enemies that come out of nowhere after killing a previous enemy,put them all out at the same time and let me take care of them. all of these can be seen in serious sam the second encounter

Got another one..

When the main characters in an RPG die and the game doesn't give you the equipment they have on resulting in you losing some very expensive/rare stuff.

I was playing Suikoden last night and one of the main characters died. Was in my party for no more than 20 minutes, so I bought all the best armor and this expensive f'n hat. Needless to say, I was pretty pissed when the char died and I didn't get that hat back.

The Ambulance side mission in GTA: Vice City.

Enough said.