Lack of tileset support: I like ASCII as much as the next roguelike, I even voted for you in the annual roguelike contest, but when I want to play with a tileset, I want a tileset. The staircases and bins should not look alike, the text should not look like dingbats, ect.
Designation is not very intuitive: 'd' 'enter' 'downarrow' 'rightarrow' 'enter', down, down, right, down... repeat forever... receive simple circle. PLEASE let us have some real designation tools. I know that dwarf fortress is tile based but behind those tiles is a mathematical simulation of legendary proportions! You're telling me the only way I can effect that simulation is through rectangles? Circles, outline shapes, polygons, lines, thickness, flows, ect. The dwarf fortress community is a legion of artists given an infinite canvas, and to paint they get a smooth wooden ball the size of their fist. Not surprisingly, the amazing simulation of Dwarf Fortress is enough to keep anyone hooked long enough to make that situation turn into something beautiful (read: Raynard Fractal rooms *drool*), but the things we could do with those tools! It's probably me being a spoil CAD brat, but spoiled I remain. Pardon how rant like that turned out.
No manual automation: As it stands, no fort can run for any period longer than a season without a spanner getting thrown into the works. Now unpredictable chaos is the charm of dwarf fortress, but there is a whole ton of predictable chaos that makes it hard for me to play long. Workshop queues being <10 places long and no numerical orders being the big one. You try and you try to make enough beds for everyone, but when a 20 migrant caravan comes you ask for 10, hope you will remember to make 10 more but then only remember to do so when the next caravan arrives. Then you're behind, the migrants get angry, throw tantrums, everyone loses. I could designate repeated beds, only to find 300 beds made, my wood stock destroyed, no trees left, and a migrant cap of 150.
Those are the three biggest things that make me stop playing forts after a while, but I always start again after a while because new forts don't need automation, designation planning is interesting (because I plan a lot), and the dingbats don't bug me as much. One day I'll try to get past all that to actually reach nobles, but that's for another day.