I loved the chocobo breeding thing. It had quality benefits to it, which is really what makes a sidequest worthwhile. I don't get how you can think that things such as the Knights of the Round materia are not worthwhile when it's amongst the most powerful attacks in the game (if not the most powerful? I forget). I'm pretty sure the other things you get thanks to chocobo breeding are also very useful. Maybe you did it wrong.

The only sidequests I've found genuinely annoying are the ones which, despite having good reward, are incredibly difficult (at least for myself). The most annoying one for me was the chocobo race in FFX, which I could never get done right. I grew incredibly frustrated at this.