Not being able to skip cut scenes
Sometimes you want to go back and review events that have occured, or atleast I do. Being able to do so would help to greatly reduce the amount of saves I need to keep. It would make it easier to be able to rewatch some awsome looking cut scene or something else that I find interesting.
Bad artificial intelligence
Its worse when the AI cheats. Its not a problem when its the user setting the AI to do, but its a real pain when the AI automatically does so. You are no longer fighting an opponent that you gave a handicap to, you are fighting a cheating program. You can't even fight it as though it were a normal opponent. Imagine playing a game of cards with someone who keeps a few aces up their sleave, and you can't stop that person from swaping cards.
Its one of the reasons why I don't play the Total War series. The AI isn't programed well so it gets large amounts of free units. Someone I know says that the AI gets units quicker than what the player could get with the same towns and infinite amount of money. He's pretty sure that the game simply creates them out of thin air.
Hard to use menus
Hard to use menus are one thing, but those that doesn't make it easy to determine what something is, is a pain too. Take the Armoured Core series. Most of those I've played (rented) tend not to give much explaination of what some of the part stats do. A stat such as maximum load is easy to guess to what it does, but "Calorific Value" is not. Even some of the guides that many players have made are not sure about some of the stats.