I'm new to Sharepoint, so here I'll start a list of Sharepoint Annoyances :)

#1:   It lets you think you are designing relational data... but you are not!

Some examples:

I have a list of clients, and I have a list of contacts (or individuals) at that client's site.  I am designing a form for entering job details and I want to link in to a job both the client who requested it and the contact at that site. 

I want the user to pick a client and then a contact that is valid for that site, but I can't seem to filter them!

Secondly, there is no validation!

I want to have a form where the user can enter a start date and a finish date.  No problems so far but logic dictates that the finish date cannot be before the start date!  I don't have a way of enforcing that.

I'm sure there are ways around these, but right now they are annoying!