Another that bugs me (not sure if it was mentioned or not) is that you lose all your weapons at certain points in some games but in others you keep them. A good example here is Call of Cthulhu: Dark Corners of the Earth. It feels like every five minutes you get captured and lose all your weapons. While it does make sense to be disarmed by your captors, it doesn't make it any less annoying. Then in RE4 Leon was captured and the stupid Ganados didn't take anything from him so he could waltz right on back outside and start shooting the crap out of them again.
Bosses you need to defeat to move on in the story that are nearly invincible and need hours of level grinding to get at a high enough level to even survive. I've mostly found these in Final Fantasy, to be honest. :S
Something annoying, but I can live with, is when enemies pop out of nowhere and you don't have a chance to avoid them in case you're dying or are being timed. I prefer it like in Persona when you see the monster and can not only decide weather to battle it or not but it's also turn-based. When you hit it or it hits you, you go into a battle mode or something. Yes, I do like turn-based fighting systems better.
It's also annoying when you're not even at the end boss but you have to defeat two or more strong bosses at a time without allowing save time. And then you have to watch the cut scene that starts to make your ears and eyes bleed after awhile because you keep dying and you can't even skip it.
Timed anything drives me nuts but if you have plenty of time it isn't so bad.
That's basically it, but I try to finish most games anyway because I spent money on that stuff.
Edit: Haha, I read through these and found a couple that I agree with:
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