Many of mine have been posted already.
MOLEX. Thankfully this is dying out. Worst connectors ever.
RGB standards. Why can't they just agree on one standard between them? Why are there two? 5v and 12v? Some boards have connectors for both, some have connectors for only one. Why is this?
M.2 screw. Why so small?
The front panel connectors, Why are they so damned fiddly? Surely the board manufacturers could all agree a standard and just produce one single block connector that connects them all?
Another one that made me think during my current build, Why do most connectors still sit perpendicular to the board and sit on the end of the graphics card furthest away from the board? Surely having a connector that can be turned 90' for the ATX 24 Pin would immediately make most builds cleaner and give less interruption to airflow? The same for just about every other connector, they still point straight up. Some boards now have the SATA connectors at right angles and most cases have appropriately placed cutouts for these connectors, but if they could be rotated or even were set at 90' things would be a lot tidier. The same applies to Graphics Card power connections. Now I know they're usually part of the PCB (30x0 excepted in many cases) but the way they're on the 'top' of the card so when the card is in place they're about as far away from the motherboard as they can be meaning cables interrupting clean airflow yet again. IMO they should either be at the bottom of the PCB or arranged close to the Bracket. Again the graphics card manufacturers should be looking at this and agreeing a standard which the motherboard makers can also accommodate. In fact there's been little innovation in the area of Graphics card cooling and power connections in a decade or more!