Games that require CD in drive to play and offer no full-install option.
Game remakes that suck.
Introduction videos - I want all the time/money spent on the game making the game, not on something I'm going to watch once.
Annually rehashed games without cheap upgrade option - think Microsoft Flight Similator 200x, Championship Manager 0x-0x.
Ingame music that cannot be turned off.
The process of saving saved games in the programs folder rather than in the My Documents folder. This weekend my brother lost most of his game saves when I reinstalled XP and didn't think to save his saved games.
Lazy install programs that ask if you want Direct X 26 installed when you already have Direct X version 27 installed.
Lazy install programs that ask if you want Adobe Acrobat Reader 15 installed when you already have Adobe Acrobat Reader 17 installed.
Downloadable-only updates (read bug fixes). There should be a law that when you registered a game you buy the company has to send all updates on CD to your house at their expense - then we'd see a bit more quality testing before release methinks.
Games that require admin-rights to run.