Well, this thread is old, but I thought I'd still mention my pet peeves.
1) Assembling a new model, only to realize it's going to be hell to paint some areas of it.
2) Painting a model SO WELL, you know you won't be able to top it for a long time... and it's not a model for your main army, or for 40k at all...
3) When you try hard to paint a big model nice, but it looks only as good or worse than your basic troops
4) When GW switched their colours and tried asserting they were the same... they aren't.
5) Realizing you may never fully paint your whole army, and if you do... it could be cruddy or illegal when the next codices and rules come around...
6) GW not having a model for the unit/character you want to play
7) GW charging extra money to get Boneswords and Lashwhips
8) Having almost all your favorite models be ones that are considered awful, bad, or just workable
9) Being in an area where all the gamers are either veterans or screaming children. I have no one I can grow my army with, and no one discovering the hobby with me
10) The 50-95% of gamers that are new, will buy 1-3 2,500point armies, paint 10 of them, game everyday, act arrogant and obnoxious... and then quit in a year or less.
11) The people that speed through assembling and painting like it's the worst thing ever, so they can field their "unbeatable" (and sometimes legitimately cheesy) list and table everyone. If you hate modeling and painting, you're in the wrong hobby.
12) Getting teased a little for not rushing through my army like everyone else.
13) The fact that you can't get victory points for having a well painted army when your opponents isn't even painted... or worse, it's slapped together without care.
14) That so much of the game has become more about rolling dice than carefully planned positioning, meaning winning can be due to dice more than talent.
15) The socially awful people.
16) All the meta talk about what army is op, which one sucks, and how you can break the rules, blah blah blah. Why does no one talk about fluff and new models, fun combos and painting? I'm tired of hearing that nids suck and Crons and IG are OP.
17) Smack talk. I know it's part of the game, but I believe my army will win as much as I believe the sun won't rise tomorrow. You say you'll obliterate me? I'm going to say yes, you are.
18) Transporting an army... cases are expensive. If you go custom, you need to either have all the models, or plan to buy them, which is too much fore thought for me... plus transit and big cases? Not a good mix.
19) distracting gawkers... those kids that think your game board is their playground too.
20) The people that have no respect for your books and will crack the spine or slam it down.
21) People that play with my dice, dice bag, books, tape, or anything... without permission
22) Non gamers that don't respect your models as you show them how to play... I put 10 hours into each of those! Don't grab a handful of them and push them across the bumpy table! Don't just yawn when the HQ you're borrowing from me FALLS TO THE GROUND!
23) GW Prices.
24) Losing too quickly, losing badly at a roll, losing because of a misread rule, etc.
25) People that have rolling rituals... I'm sorry, but can you not spit, blow, lick or whisper to your die? The number of crazy, and beardy things with dice I've seen makes me wish the game used fixed percents or had a third person or machine to roll the dice for us instead. I even hate "lucky die" because I've yet to meet someone who doesn't go on about it in some way... cheering, whimpering, shouting, dancing... just ROLL. Whether superstition or cheating, I hate it. The only time I was okay with funky rolling was when a friend would launch his die and shout "Kamehameha", but he only did it 3 times... not 30 in a game.
26) Wanting to change your army's colour scheme when you've already put hundreds of hours in...
27) Having so many pet peeves
I think I covered a lot of things there... is there anything left to cover?
Oh, and I might add... as big a list as this is... some of what I listed don't bother me *that* much, I just thought making a super long list would be funny.
....but seriously... dice rolling rituals... I HATE THEM.