Problem 1: Video game developers
This one comes in a number of forms, but I'll list a couple of the worst (or at least more common) examples. Firstly are the developers who seem to do very little testing before releasing their product. I'm not just referring to the general "we can patch it" mentality that has the industry in general releasing buggy products lately. I'm talking about developers who release a product that, in their offices, ran just fine, but runs like crap on mostly everyone else's computers. The most infamous example of this would probably be Rage, which had a large list of graphical issues when it was released, and all that iD had to say about was that it ran fine on their computers. Never mind that they had custom drivers that they specifically designed to run the game.
The second problem with developers is when we get blatantly half-assed ports, often without even replacing the button prompts from the original version. So I'm sitting here with a mouse & keyboard and being told to click the right thumbstick to aim. Okay, fine, I can just look it up. I'm used to customizing my controls anyway (that's one of the perks of PC gaming, after-all, but we aren't here to talk about those, so moving on). Still, it just smacks of showing how much effort the developer put into their port. Then there's problems where the developer didn't really consider things like UI controls. Borderlands, for example (the first one at least), has terrible controls for a UI that the player often needs to navigate as they get new gear and need to consider upgrades. Compare that to something like Fallout 3 where I can flow in and out of the menus with barely a second thought, and it's clear that one developer sat down and thought, "Okay, so where are my hands when I'm playing this game, and how can I use the keys in that area to navigate these menus," while the other one just lazily copy/pasted the commands from the console to the PC without considering that this would put a number of necessary keys in clunky areas.
Problem 2: Other PC Gamers
This one is a bit more simple that the last one, but it's a definite problem with PC gaming. Heaven forbid that there should be ANYTHING at all that you don't know how to do/fix. If you dare to even hint that you don't know how to fix a problem, then you clearly have no business gaming on a PC. There's a reason Yahtzee coined the phrase "PC Master Race" in one of his earlier videos, and there's a reason that he spent the last 30 seconds of so of a more recent video dedicating the episode to some douche he saw on the Steam forums. Having some problem with the game's shoddy online support? Well, forward your ports. Never mind that this isn't a problem for several online-focused games. Oh, you don't know how to forward ports? Go play on your Xbone, scrub. I know that it isn't every PC gamer, and there are actually plenty of people who are willing to help you with your technical issues (even if only in the form of linking you to a "How to" video), but it still counts because it's a problem I wouldn't have to deal with if I gamed on consoles.
Problem 3: DRM
I think problems with DRM are pronounced enough that I really don't have to go into detail on this one.
Problem 4: Price
For what it costs to build a computer, and replace parts that are going to break at some point, you have to really want to be a PC gamer. Honestly I sometimes wonder why I even bother with it. Maybe I'm used to the notion of needing a gaming PC from back in the day when PC exclusives were more of a thing. Maybe I figure I'm gonna have a PC for navigating the web and such anyway, so it might as well be a gaming rig. Maybe it's just that I love putting them together. Whatever the case though, I just can't see myself ever not having a high-end gaming PC, even if it means that I have to save-up for several months to be able to afford to build a new one when my old one craps-out on me.