1. Too much emphasis on using alien weapons and winning with psi and magic/sci-fi tech. I like the early-to-mid game better when you're still using stuff that's sort of recognizable as human, realistic stuff.
2. Slooooowly clearing a huge map only to find that last alien stuck in some buggy little spot due to some bug.
3. "You can't throw that there!" In the real world it's pretty easy to have someone open a door while you stand next to them and toss in a grenade. Or throw a grenade up on the roof. Then again it was 1994 and it's easy to complain but hard to code and Q&A.