Can relate to many of the posts in this thread. Here are the things that give me the most grief:
1) Molex connectors. Most of the time they're no problem, but when the plug is particularly tight, and the workspace particularly cramped, I can end up spending ten minutes or more just trying to get those damn things unplugged. Much swearing and finger pain is often involved. (20- and 24-pin PSU connectors can be pretty bad in this regard as well.)
2) Proprietary or non-standard hardware in general, and OEM versions of sound cards and video cards in particular. What was even the point of Dell and HP making their own cards that needed custom drivers? I have some Sound Blaster Live! cards that I have never been able to find working drivers for.
3) When OEMs survive to the present day, but remove support resources for older systems or components from their websites (drivers, manuals, etc.). HP seems to be one of the worst offenders. Storage is so cheap nowadays; how much can a large enterprise possibly hope to save by deleting a few hundred gigabytes of data from their servers? Dell deserves a big round of applause for not doing this (yet).
I've thrown money at the occasional thing-that-I-just-had-to-have but I never have the same love for them as the things I've pulled off a scrap heap or bought for cheap by being patient - not sure what the psychology behind this is!
I identify with this 1000%. Paradoxically, the less I spend on something, the more it's worth to me, because I know I'll probably never find such a good deal again. That and it feels good from an investment standpoint (buy low, sell high).