My biggest annoyance is requiring Steam to be running so that I can play non-Steam games. Getting a work around for that while I had no internetz was needlessly complicated.
But I suppose that's Steam-specific. In which case, I'll go for overpriced DLC that was being developed as part of the original game anyway.
You take that back! Steam is a perfectly nice girl, you just have to get to know her better! I guarantee it's worth it if you have people on your friends list to chat with. I'll even be your friend, if you don't have enough to justify it!
I've been using Steam since 2009, and while it has many advantages I'm afraid it still annoys me when it needs to be running to play Dragon Age. Do you know how awful it is to have a Dragon Age addiction and be unable to play for weeks because Steam refuses to even try opening if you're PC is offline? I had to haul my tower to my mother's, connect to Steam and restart in offline while connected just to be able to play DA at home.
It's annoying, I shouldn't need to connect to Steam to open an offline game. Getting around it was tedious.
Don't get me wrong, I love Steam, but it's ridiculous that after three years I still have that problem.