To me, one of the most frustrating things has been finding a working 512MB PC133 module. I had to buy a lot of them finding out that are defective or die within days or even hours after their arrival. So far I have two error free 512MB sticks out of ten, and two error free 256MB sticks, so I'm running my P3 at 1,2GB of RAM. I gave up at looking for another 512MB module so I just run it with that amount of memory.
Another frustrating thing is made by incomplete BIOS versions: my motherboard, the QDI Advance 10T, has a beta BIOS installed, and it's the only version that supports hard drives larger than 137GB, since I don't have a bootable SATA controller to use for my WD Velociraptor hard drives, plus I don't even know which bootable PCI controller would work with such drives.
The drawback of the beta BIOS, which is the last one released for my motherboard, is that I lose the Hardware Monitor feature, meaning I'm no longer able to check temperatures and voltages, except for the graphics card and hard drives.
My Retro Daily Driver: Pentium !!!-S 1.7GHz | 3GB PC166 ECC SDRAM | Geforce 6800 Ultra 256MB | 128GB Lite-On SSD + 500GB WD Blue SSD | ESS Allegro PCI | Windows XP Professional SP3