The thing that I hate most is the concept of area terrain. I mean, just because its got ruined walls around it, it shouldn't mean that. I particularly remember one game when I was planning to charge my Hormagants through a seemingly open path, then to be told that there was virtual rubble in the way, and i had to roll difficult terrain test. Then, in the same game, i was told that my zoanthrope could not shoot through the empty space over a ruin. I mean, if he can see it, surely he can psychically immolate it. It just goes against my previous understanding of LoS!
And I'm surprised that nobody has mentioned paper armies. My friends used to hate it when i used a paper army, but now they all do it too. I don't use paper any more, but i still don't have any Zoanthrope models, so I have to use substitutes. <Please note, if I had the funds and the time, I would buy the proper models, it is entirely unintentional> Personally, I see nothing wrong with paper/substitute armies, or any of WISYWIG, as long as I know beforehand what things are, but I still rather playing a proper army. As long as I see progress, it doesn't bother me.
Sometimes WYSIWIG problems can be funny. I was playing Tyraninds ages ago with like all substitutes, and a mate teleported some necrons right in front of some Saurus models. He sure got a surprise when my genestealers ripped him apart.
EDIT: Oh, and I just remembered after looking at someones chess topic. I HATE it when my mates try to explain warhammer to my other mates by saying 'Its a bit like complicated chess'. ITS NOT! I can see no resemblance to chess, apart from that its a stategy game, and you play it sitting/standing at a table.