Not being able to open a door after you've just demolished a whole army Rambo-style. One of the things I hated about Call of Duty was waiting for my team to catch up with me and open the bladdy door, as if my character that just killed a hundred soldiers with just a pistol wasn't capable of opening doors.
Additionally, going through the inevitable missions where the story will go as follows:
Get to point A and collect x. Protect point A as you collect x. Now get to point B and wait for your vehicle to collect you. After a good half hour of enemy waves at point B and waiting, oh looky here, the fucking vehicle crashed or cant get to you for some absurd reason, so instead just take the path in front of you to get away which has been there the whole time you've been waiting.
I enjoy lengthily missions, as there's a great sense of achievement after completion. But sometimes they just take the piss.