In no particular order:
1. Thinking you are buying an extremely limited release and then seeing the same product still available months after release. The should be a law or something that forced the companies to tell how many copies will be made
For example Metal Gear Solid Ultimate HD collection was supposed to be "limited edition" but zavvi.com is still selling it and price just keeps dropping. For popular series like MGS there's just no way that limited edition can still be available after such a long period after release
2. Related to #1 it's also annoying when you see this so called "extremely limited" release selling for half the price when you bought it
3. One time use DLC content. This is propably the worst. I don't need my CEs to be shrink wrapped or brand new but I want them to have all the content. CEs with DLC basically force you to buy the release from store instead 2nd hand.
4. Thinking you are actually getting some exclusive DLC content to your game and then seeing the same stuff selling for few dollars on PSN etc after few weeks. CEs aren't really a value for the money thing anyway but it would be nice if some of the actual in-game content remained exclusive for CEs
5. Not being able to decide whether you should buy the CE now or wait for price drop. On one hand the product might actually sell out and then you might be forced to pay even more on eBay.