Barbas speaking and breaking the Fourth Wall.
Trying to overcome My obsession with getting certain levelled Items at Maximum. Mages Circlet, Odahviing, The Pale Blade, etc...
Running into Glitches.
Getting characters stuck playing Spiderborn along the Mountains.
Forgetting I just equipped an item that makes My character really squishy (Necromancers Amulet on Bound Sword Dual Wielder)
Underwater enemies but no underwater combat.
These next two may be major but I'll mention them anyway:
Quest destinations that can only be found via map markers ("Find Gunmar").
Word walls that can only be accessed via faction quests.
Oh man, the pain. Having to wait until Level 30 to get the Nightingale Armor at it's best is annoying. Or 40, because Chillrend is ridiculous at max. Either better than or on par w/ Daedric, I believe. v.v I hate wearing the Brotherhood armor until then.
Other then that, horses. I'm not fond of fast-traveling, but walking everywhere can take a while. But Horses are agitating to control. Combat on Horseback is futile. And everytime I jump off a height no taller than a barrel, I fear I'm going to break his legs from the way he cries, so I spend a lot of time cautiously making my way around, hoping I don't step in a hole or something.