That you can't cancel/abandon them.
Yeah, there are WAY too many things that get stuck in your journal because you make the mistake of saying "howdy" to someone and next thing you know you're stuck with a quest that you have no intention of doing (frequently because there's no way of doing it that appeals to you). After four playthroughs I know how to avoid a good many of them, but it would be nice if Just Say No was an option in a lot more cases, or if I could subvert a quest in some way that is more appropriate for my character, like the guy in Solitude who wants me to shut down the lighthouse, I would like an option to report him to the guards and have him arrested or thrown out of the city or something.
The Daedric quests in particular are a thorn in my side, although I have found ways to "fail" some of the really unsvaory ones it's not going to be possible with most of them. I still haven't figured out a way to enter Falkreath and do business with the blacksmith there without triggering an encounter with Barbas. And I can kill all the Boethiah cultists but she still gives me the ritual weapon and instructions to bring her a sacrifice so that's stuck in my journal forever, I can't even "fail" the quest by going out and knocking off a particular person who's integral to it like I have in other cases. You can't really thwart Boethiah there, she's just as satisfied with you if her kill all her people as if you joined them, because that's the kind of sick ***** she is.
The Namira quest I thought I had figured out, just kill Eola in the Hall of the Dead and never agree to go with her anywhere. But guess what - I still run into some NPC on the road who thinks I've joined their little cult and wants me to have the first bite of some corpse that's lying there. I kill the SOB and all that does is get me in trouble with the local guards.
And like many others I would love the opportunity to take down the Thieves Guild.
The Cidhna Mine quest is one of my least favorites ever, if not THE least favorite, since you are basically railroaded into it simply by entering Markarth (I avoided it for a while with one PC by continually telling Eltrys on every encounter that I hadn't seen anything when the murder happened, that worked 2-3 times and then he shoved the note into my inventory anyway.) From there on in it's a one-way track leading to an ending where (for me) both options are equally repugnant. I dunno, is Eltrys essential? I guess I could make him killable with the console and then just kill him in the Temple and be done with it, but my character has no reason to do that, it would just be to get rid of the stupid quest. And still no guarantee that it would come out of my journal.