Crusader Kings II - having to build every stage of a castle before the other one in a province. Why would I need to build a motte and bailey (1 year to build) then a stone keep (3 years to build), then a normal castle (5 years to build), then a bigger castle (10 years to build), then a massive castle (20 years to build which totaled 39 years to build) when all I wanted was a massive castle? I do not see the point of those form of tech-trees for what is supposed to be a realistic game. Who builds a castle like that? You don't just build one then knock the damn thing down to build a larger one afterwards.
Civilization 5 - I love the hex based system, it's so much better than the square of previous games. But they've never been able to drop the "it takes 40 years for your warrior to move from inside your city to outside your city" issue. I know it's so you don't spend 5000 turns playing the first 4000 years of history watching men with rocks hit other men with rocks but it means your units become obsolete before you're actually able to build a combined arms army and use it. Some type of "war time-ratio" would have been nice.
Skyrim - Congratulations, you defeated the Stormcloak Rebellion and restored Imperial authority to the area! Nobody gives a shit. Fine then! You assassinate the Emperor! Nobody gives a shit! You defeated the giant dragon-god-thing! NOBODY GIVES A SHIT!
Mass Effect series - I'm going to have so much fun replaying this from the very start as a renegade *****... oh none of the choices you made has any effect on the final mission. So much for that idea. (Done to death, I know, but in the grand scheme of things it made up like 0.5% of the entire game series so it is a pretty minor thing)
Final Fantasy XII - My characters' outfits. Vann, good choice for pants, they actually look combat practical... why are you wearing a vest? Wait, you're supposed to be a THIEF and you're wearing plate boots and plate pants? Let's try the retired captain then... oh gods what are you wearing? Is that a vest that's done up with belts? I can imagine it would be decent as a type of extra layer for a breastplate and... why aren't you wearing anything else? Oh, you have a small plate on your shoulder... that's it? You're supposed to be a warrior - YOU LOOK LIKE A CLOWN!
Maybe the girls are different? Okay, bunny ears gal, I can appreciate this. You're hot, I do not mind the battle thong because it actually - for the first time in forever - looks like it provides more protection that what your allies are wearing. You other girls though, you look like you changed your mind 5 times while getting dressed but didn't think to remove your previous decision before starting again.
Sky Pirate Captain dude, Balthier or whatever, I can't even remember. You actually look decent. Your voice actor is AMAZING... but you alone can not recover just how horrible your other party members look and behave. You and Bunny Ears Gal, you two should have just done your own thing. It would have been far more entertaining than stuck up princess, main character thief with plate boots and NO agency, girl in the onesy-shorts, and Captain Clown.