Prodeus abrupt ending and the lame ending boss fight. Weapons like the super shotgun and plasma rifle you have to get by collecting currency. Either weapons should just be given to you at certain points in levels and move on. Not to mention the upgrades are really expensive. I just beat the game last night and I still haven't gotten the other weapons yet. I know this is to encourage replay value and then go back and the early levels of find a secret with new upgrades, but I honestly dislike this type of exploration and secret hunting.
The parasitic worm boss fight in Evil West has no mid boss fight checkpoints. Meaning if you die you have to do the entire thing all over again. This only gets more annoying on harder difficulties, as you can't afford to take much damage.