Some of these have been mentioned, but here are some of mine:
-Not being able to skip a cutscene
-Having no alternative way to get important information from an accidentally skipped cutscene
-Checkpoint systems that require replaying ultra-easy but time consuming segments each time you fail on a hard one.
-Low health noises or (especially) controller vibrations. I never knew Halo did this until I got my subwoofer. With that game's shield system, it's possible to have low health for quite a while.
-Puzzle games that try to incorporate a bogus story when they don't need to. I just bought Mojo! from CC. It's a fun game, but I don't care if I'm supposed to be some heroic and mystic magic marble from space or whatever. Zoocube, too.
-Difficult games that don't allow a quick restart after failure. I never got many gold medals on Rogue Squadron II because it would have been too tedious to restart missions again and again.
-Loading and transitions to or from cutscenes when they completely kill any sort of atmosphere that has been developed.
-Any game where the illusion of reality suddenly falls apart. I like Prince of Persia: SOT, but the final few blows of the last battle should be a cutscene. If the player doesn't finish him off quickly, he will stand there forever until he's struck. It's hard to suspend disbelief when that happens.
-Frustrating escort missions. I like the concept of protecting something/someone and being a hero, but sometimes it can get really ridiculous.