Costly Editions, DRM, and Upgrade Surprises
Apparently all those years Vista was in development were more inflationary than we thought, because in the five years since XP was released, Windows got real expensive. Sure, Home Premium isn't much more than XP Professional--but look at all the cool stuff it's missing, like Complete PC Backup, BitLocker Drive Encryption, and Shadow Copies (which automatically keeps copies of previous versions of your files). For more features, you'll need the pricier Business Edition, which still doesn't come with BitLocker and lacks Media Center. Want the whole enchilada? You'll drop megabucks for the Ultimate version ($259 for an upgrade or $399 for the full-price version).
Not fixable: Short of sailing with the software pirates, there's no way around this one.
Is This My OS or Hollywood's? (Or, Why Do I Have to Buy a New Monitor Again?)
This arguably isn't Microsoft's fault, but the high-definition situation on PCs in general and Vista specifically certainly qualifies as annoying. If your video card and monitor don't support HDCP (and unless you bought them recently and did your research beforehand, they don't), you'll need new models if you want to watch full-resolution Blu-ray or HD-DVD movies on your PC.
Not legally fixable: Hackers are finding ways to break through the encryption on high-def discs--but as long as the DMCA stays on the books, their argument for why these tools should be legal ("They're for making backup copies") won't hold water in court.
The Downgraded Upgrade Disc
An OS upgrade is a nice occasion to start your computer off with a clean slate. But prepare for an annoying additional step if you plan to back up your data files, wipe out your drive, and start fresh: If you bought a Vista upgrade disc, you'll have to reinstall Windows XP on the machine first.
For XP installs, you could start a clean installation on a bare drive and simply insert the disc of a previous Windows version to verify that you qualified for an upgrade. But Microsoft dumped this capability in Vista, so a clean install from an upgrade disc will entail one more (probably 30-minute-long) step. You can still get a clean installation of Vista from an upgrade disc, but you just can't do it without installing XP first.
Kinda sorta fixable: While there is a workaround that lets you perform a clean Vista install with just an upgrade disc, it requires installing Vista twice. That might actually take longer than installing XP first.