I have several troubles with the game that affect its overall play value, but the three biggest are these:
1) Dwarf labor management. If it weren't for Dwarf Foreman, I wouldn't be having nearly as much fun - the in-game tools to manage dwarf labor are just too tedious. The majority of players let many of their dwarves stand around idle or let them do stupid things partly because it's too much of a PITA to manually change labor prefs as often as needs to be done for anything like efficiency or (apparently) even safety. I am also mourning the absence of a way to list dwarves by skill. Every time I want to find the best mason to make doors for my King, or engraver to engrave the dining room, or soldiers who are dangerously near to becoming heros, or pick which previously-trained dudes to re-conscript when the goblins attack, I miss LaborDF.
2. Lag. ToadyOne has worked hard on this issue, and in the most recent version I can - for the first time since 2D - squeeze in an 80-dwarf fort with magma, as long as I'm careful to turn various options off, cage animals, and avoid intricate pathfinding and some kinds of hidden fun stuff. Nevertheless, the "lag monster" lurks at the edge of nighmares for every fort I build; it's responsible for more abandonments than the goblins could ever hope for.
3. Lack of an interesting underground throughout the game. In the 2D version, you faced everything from river flooding, to wintertime starvation (missing and much mourned!), to antmen coming out of your wells, to respawning river, chasm, and magma denizens. Difficulty level ramped up nicely as you dug deeper, exposed more features, and (if you weren't careful) allowed the nasties more ways to get into your fortress. You could grow your own beds and fuel in all fortresses - not just in rare and (unless you cheat) random ones. Monsters kept respawning, so you had to stay vigilant against threats from multiple directions. The river had sand, which (again) offered a mix of danger (your dwarves could be drowned in a flood while collecting it) and reward (glass!). Rock formations were far more varied and nicely banded - you never got entire screens of a single kind of rock. Colored rock had increased value; if it wasn't the usual color, it was interesting both visually and economically. Metal veins were abundant and guaranteed to be varied - you never discovered, halfway through a fort, that the only metals available on-site were tin, silver, and lead. More valuable stuff was further away and more dangers had to be dealt with to reach and retrieve it, which meant that materials like bronze, brass, and silver could be helpful in the early game. The nethermost depths really WERE the depths - far away, rich, and dangerous!
Other issues don't make the top three for me, but still merit attention (all have already been noted in this thread):
* Equipping, mustering, commanding, and caring for military dwarves is all handled by interface and/or AI inadequate for the Army Arc.
* Building constructions is extremely and unnecessarily time-consuming.