Getting stuck and not knowing what I'm supposed to do/where I'm supposed to go next. I just wanna get on with the game, not agonize and waste time and not have fun. If it's a puzzle type situation, game should prompt you (with the option to turn this off) with a hint. I don't wanna putz around on the internet to download some verbose 60 page FAQ where I'm not quite sure where I am supposed to be looking because it's so long, nor do I want to then have to look at youtube clips because instructions on what to do were vague or unclear or simply omitted.
Other things: overly loud sound effects to music volume ratio (or most sound effects may be mixed correctly but a few - usually a chain gun or grenade, are much much louder than others), overly difficult bosses (Gears of War and Lunar Silver Star Story's final bosses come to mind or 1st boss in Deus Ex: HR), and overly complicated controls (and on a similar note, I wish it was much more popular and possible to use ambidextrous flight stick for left hand and mouse for the right hand to control your character and cut out the keyboard completely. F.E.A.R. and Unreal Tournament for example can do this)