#1 Inconsistent hotkeys. Depending on the situation, scrolling down happens either with + or arrow down, and next page appears either with * or Page Down. In fact, the menus should be redesigned from scratch. The "custom stockpile" menu is the worst. That's where I hit the wrong keys all the time.
#2 Lack of item information. I would love to know the uses of various ores and metals without looking up that stuff online. The "view information" is mostly useless.
#3 Lack of decent save system. Like, multiple saves (at least 3 instead of 1), ability to continue your game right after saving without having to load, no rendering your saves useless in case your fortress fails... the obvious stuff. All this can be circumvented so easily but it's such a drag.
#4 The adventurer mode. It could be so damn awesome...
#5 Vermin remains. Just... make them go away.
As for odd dwarf behavior, I think much of it can be explained with each individual dwarf's personality. Some of them have a sense of duty and they're just not going to stop some thirst or hunger get in the way. They complain, but they see it fit to do their jobs. I would love to be able to tell them that "Hey, go ahead, there's plenty of food and beer, knock yourself out. You can do your job better afterwards! That's what you want, isn't it?"
Adding new features instead of correcting existing flaws, it's just the sad way of the 21st century, when it comes to software. Also, complex game is complex. Things are bound to get annoying at some point. DF is really detailed, if not too much at that. There's a lot of work to be done with Dwarf Fortress.