The worst problem I have is the game's constant crashing, with no cause in sight, besides some slim-as-hell possibility the game randomly increases it's RAM/CPU needs by 50% to well above my computer's limits. it just decides to shit itself and die, meaning I either waste time doing the same things repeatedly or I waste time waiting for the game to save and then load every time I've done anything useful just so I don't HAVE to do it again. Furious!
That didn't happen during the last version of 40D I played (40d16); the last time I had to deal with this, before 31.01, was when I first started playing. I don't remember what version that was, but it wasn't too terribly long before 40D.
The next worst thing I have to deal with is... god, that makes everything else look like child's play... Dwarven intelligence? It does annoy me that they defy logic at every opportunity, even when I've done everything imaginable to achieve the desired outcome.
I guess one thing that bothers me still is all the bugs and incompleteness with adventure mode. Towns have infinitely respawning residents, castles and forts are empty, other races don't have sites, etc... I still wish I could create and edit sites for modded civilizations, making them unique...