Not having enough save points between challenges in the interest of 'difficulty'. It's one thing to have a challenging task that requires repetition to get better every time, but once I get through that task I don't want to have to do it again and again while I figure out the next 'challenge'.

One thing that really bugs me is stringing several challenging boss battles in a row with no downtime. If I die at the second boss then I have to go back and beat the first one again and that is annoying as smurf because I already spent 20 minutes on that stupid thing. That's why I love the advent of autosave.