One of the common ones is the pop-up failure box after a long batch process. Lots of things do this - iTunes music imports, Windows Installers, etc. You set it doing some huge thing and walk away, only to come back an hour later and find it only ran for 5 minutes and then decided to pop up an interactive yes/no box about some warning. Even worse of course is when it runs for 2 days and then pops up a "whoops couldn't complete" box. Thanks. Of course it's blatanty obvious that any time you do a time consuming process you should check the possible failures and anything you need to ask about right up front, and get that all verified, and then let the user know you're about to go non-interactive for a long time and let him go away. Furthermore a semi-accurate progress percent is pretty important.
The progress percent is another one where people seem to just get a laugh at fucking with you. There's a few funny ones :
The progress bar that's actually just an hourglass. It moves across the bar steadily and you feel all happy, and then it gets to the end and just starts over at the beginning and keeps moving again. WTF. iTunes does this.
The progress bar with super non-linear speed. It ticks along nice and fast, you decide not to even stand up, and then after five minutes it hits 98% and just stops. Then it hits 98.1%. Doh.
The progress bar that restarts over and over. Windows installers love to do this. You see a progress bar and you think hey this won't take too long. Then it restarts for the next phase and it's ticking a little slower. Hey no big deal I can wait this out too. Then it reaches the end and restarts another phase. Doh!