Loot drops that don't make sense. I hate things like fighting ancient living statues that have been buried for centuries and finding money on them; or fighting normal opponents who are clearly heavily armed and armoured and all the have is a few bullets or a dagger or something.
And that's something that really impressed me when I first played the Elder Scrolls, I had always found it odd that in some games a monster that clearly carries no weapon would end up dropping some high quality weapon (Where were they even carrying them? It's probably best not to know), or an armed enemy would drop no weapon or a different one from what he was carrying, I was quite pleased to see in Morrowind that not only did enemies drop loot that made sense for them (A creature that can't use armor and weapons wouldn't drop these things, for example.) but I could actually loot every item I see people using, not just their weapons, but armor as well, something that is rare even in games where the loot does make sense for enemies.
Anyway, as for some things that annoy me, I agree with the save point thing, it could be justified in older console games due to memory restrictions, but for modern PC games, there's no excuse, and for Xbox 360 and PS3 games too, I'd say, since they can clearly handle games that avoid this horrible idea, being forced to fight a boss you already defeated because the game did not have a save point right after the boss and you got killed by a weak enemy does NOT make the game more fun, and being forced to watch through an unskippable cutscene introducing a boss multiple times because you kept dying against that boss does not either.
Also, developers intentionally leaving out content to market it as DLC (Any day one DLC I automatically assume is this, because if you could have it ready to release on the first day of release, then I see no reason why it couldn't be in the game from the start.) also, DLC that adds only a suit of armor or some otherwise minor item, if you expect us to pay extra for additional content for the game, THEN GIVE US SOMETHING WORTH PAYING FOR! I'm not forking out money so I can give my horse armor when I can't fight on my horse anyway.
Single player games which require Steam, or other such disservices that should not be necessary, on the PC.
Any form of overly oppressive DRM, whether it's forcing me to always have an active internet connection to play my
single player game or limiting how many times I can install the game I paid money for. I certainly don't mind developers trying to protect their games from being copied illegally, even if it doesn't work in the end, but I draw a line once they DRM causes more problems for paying customers than for the pirates it's supposed to stop.
Enemies that are not fun to fight, not challenging, and in no way rewarding, and instead seem to exist purely for the purpose of annoying the player (Cliffracers come to mind.) Games are supposed to be entertainment, not a test of patience, if you can't think of a way to make a fight fun, then maybe you should consider if you really need to have a fight in at all.
Escort missions, in particular escort missions in which the target I'm supposed to protect is weak, has terrible AI, and runs head first into enemies without any concern for his own safety. If you must have an escort mission in the game, at least have the character you're supposed to escort make an effort to stay alive.
"Unique" items in RPGs that are completely identical in appearance to their generic counterparts, Fallout 3 was a rather serious offender, and the fact that this was changed in New Vegas was, I felt, a small but very welcome improvement. Maybe it's just me but if you want to claim a weapon is actually "unique", I feel it should have something visually distinguishing it from similar weapons, even if it's just a different texture, of course, the function of the weapon is important too, but even if it's stats are completely different from other weapons, if it still looks the same, it still doesn't really feel like a different weapon.
There's a few things that always bother me, I'm sure I could name more, but those are the ones I've thought of now.