Checkpoints - give me my quicksave! (I normally use quicksaves a lot, but in Crysis 1 and Warhead I stopped, because they produced checkpoints far more often than i was actually saving. The only games I've encounterd that did that. So I didn't mind when i heard crysis 2 had checkpoints - till i found they were much stingier about them there.)
Press Start to Begin - it's a pc game, i've already pressed start to begin when i double clicked the game's icon. Just let me into the menu dammit.
Start up videos - click, click, click, to pass them. *sigh* Go to google for the instructions to skip them.
Startup Videos that are skippable, but only if you click the screen at the right time. I cant remember the amount of times I've gotten distracted when starting borderlands up and not clicked in time, so now I have to sit through that long intro. It's quicker to ALT+TAB out, and close the game, then restart it.
As others have said, unskippable cutscenes especially when it's just *after* a checkpooint and just before a boss fight that you are going to die several times.
Boss fights. Really hate them. In most FPS it's not so bad, since fighting bosses usually uises the same skills as you've used in the rest of the game, and you dont have to perfectly master a series of essentially quick-time events matching an enemies attack pattern perfectly, several dozen times. You can get buy just by dodging and shooting, usually. Excception: the bosses in Doom 3: resurrection of Evil. I got past the first one after much frustration, realised there was more of the same later in the game and lost interest in the game altogether. The Cyberdemone at the end of Doom 3 was an example of a boss battle done right - you basically used exactly the same skills you'd spent the entire game learning (though there was a kind of arbitrary pattern to spot - but it wasn't the thing which made the scene difficult, it was just an extra tweak to an already hectic combat scene).
Oh yes, Escore missions. Missions failing and game over when you fail to keep an npc alive.
Unchangeable difficulty level. Or games with difficulty level ramping up just that little bit faster than I'm learning, so a game which starts fun becomes frustrating and a chore. I started Batman AA on Hard, and was having fun, but its boss fights got harder and harder, and somewhere near the end I got frustrated and gave up. I could start again on a lower difficulty, but why should I have to play through the whole game again? Fighting games aren't my forte.
An emphasis on "the story" and then letting difficulty level get in the way of seeing that story. Lots of gamers have different atention spans, skill levels, time available, etc. Yes, we like doing the actiony stuff, but we should be able to skip bits we aren't enjoying. The argument, "I don't like that, I like doing that hard stuff" is fine for you, but if i've failed 3 or 4 times at the same point, give me the option to lower difficulty or skip past it (and then return to try again later if I want to). Many players may not accept it, but the option should be there.
DLC - I actually don't mind DLC, except for the blatant profiteering in some games: Dirt 3 has all these ads for DLC in the game menus, while you're actually playing, giving the impression the game isn't complete till you've bught them. They were there from the moment the game was released - that's pretty blatant.
Locking down games so they can't be modded: this is related to fighting cheating for multiplayer games, but I suspect a major motivation is to maintaining a monopoly over DLC, so gamers cant produce mods that outshine the publisher's own DLC.
I can't believe I forgot about this till now, since it should be first: DRM. Especially always on DLC. If I was never able to play a multiplayer game, I would be perfectly happy with single player, so why do I need online-only DRM? But any sort of intrusive DRM - having to keep a disk in the drive, for instance, when I currently have over 100 games installed ready to play if the mood strikes. Thankfully we have steam and nocd patches.