1.) Depending on dev/game - can have little to no patch support while still having issues.
The same is true with consoles. It might be even worse because, atleast on the Xbox, you have to pay to deploy more than one patch.
2.) Not all have good support for controllers/m+kb even though these should be a given.
Support for only a limited range of peripherals, rarely letting you reassign buttons to your liking.
3.) Limitations on activations via securom or whatever (ran into this recently - total B.S.)
More expensive games, day 1 DLC to kill the used market.
4.) Install capacity limitations based on your HD (can't install everything you have if you don't have enough space).
Having to deal with physical media after the first install sucks. Many games have horrid loading times, if you don't install them to your console and not all consoles have hdd's.
5.) Some settings not available on PC versions that should be (res, cust. controls, etc.)
Next to no settings at all, one size fits all. Even when it doesn't.
6.) Freaking terrible GFWL saves that get lost due to GFWL issues when upgrading/reinstalling/whatever/crossing your eyes while there's a full moon. Sometimes work arounds work. Sometimes they don't (experienced this in several GFWL games).
No choice to not be saddled with the drm the console provides. Try getting your saves from one console to the other without breaking several household objects from rage.
Mind you, this is mostly from the Xbox 360 side of things, but most of these are valid for the PS3 and Wii too. I feel that Steam and digital distribution as a whole is eroding the advantage consoles had in user friendliness.