Well the most obvious problem with Democracy is the issue of dispersed costs vs concentrated benefits. Each politician, naturally, wants to have a very reliable voting bloc in their pocket, and even more they want a reliable voting group that will actually work hard to get them elected. They could try to promote policies that actually benefit the country in some way, get recognition for it, and gain popularity in that way, but that's far too complicated for most politicians. The far easier route is to propose a bunch of specific subsidies, tariffs, etc for the benefit of a few small groups, who will in turn be completely vested in supporting them. All of these policies basically hurt the nation and the taxpayer at the end of the day, and the country would benefit hugely from scrapping most of them, but no one is willing to cut each individual policy because the cost to the individual voter can be measured in pennies but the cost to the beneficiary could be measured in tens/hundreds of thousands of dollars. That's why you have such ridiculous things in the US as corn subsidies and sugar tariffs, which led to the use of cheap corn syrup in soft drinks, which led to American politicians railing against obesity caused by unhealthy corn syrup in soft drinks that they caused by voting for corn subsidies.
Just for reference, I'd say the best form of "government" is market anarchy, so there's that.