I usually find some little things in games to be annoying and it always makes me think what the designers were thinking when they thought to make the game like that, some of my game annoyances are:

Eternal Sonata:

- You can't rotate the camera but a lot of the areas are off screen so to see the rest of the area you have to run around the whole place.

Persona 3 and 4:

- No pause! I hate that my "time played" goes up even when I am not playing it.

Persona 4:

- Penalty Cards are incredibly annoying and there aren't any exp, money, or health boost cards anymore!

What about you!? :D