For me some things that bug me;
Horses. They cannot for the love of god stop running away from me whenever dismount / fast travel (RAGE!!!)
Werewolves. The lack of wild ones.
Werewolf Companions (Eg: Aela). Never uses beast form outside of a certain quest. (Even so, you don't see her transform)
Gun-ho Companions. Do not understand the concept of being sneaky.

I have a few other little issues as well but they're not effecting my general enjoyment of the game one bit.