Loading Screens don't really annoy me, but then I haven't played much recently that's had a whole load of them. Sometimes, they're even quite welcome, because if you've been playing some really quite button mashy level, it gives you a few seconds to relax before it all starts over again.
The one thing that does annoy me a little is having to backtrack over levels you've previously played across simply to pick up one thing, and the fast travel hubs are in rather useless places, when you might have to go back through five levels to get back to where you where. It's one of my minor peeves for the original Dragon Age; if you wanted, say, to go from Denerim to the Palace at Orzammar, you'd get maybe three or four loading screens just for the purposes of doing a single quest, and it would inevitably drop you outside of Orzammar itself just to go for a jog up to the front gates...