Heh, I like this idea for a thread. Here's a few things that bug me:
Lack of arrow key select (as you just mentioned). In most cases, you can actually work around this if you know what you're doing, but it's still annoying on levels like "Triple Trouble".
Turning builders with blockers. Because the blocker's area of effect lines up with the grids, which are four columns wide, sometimes turning a builder while it is making a bridge doesn't work - even if you wait until the very last moment to block. The worst levels for this are "Down, Along, Up. In that order" and "Save me". Other applications of blockers annoy me for the same reason.
Right one-way walls. "Upsidedown world". Enough said.
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VGASPEC terrain. That weird looking obstacle in the middle of "A BeastII of a level" looks like it should be a solid piece of terrain, but because of how VGASPECs work, the black pixels are actually nothing. The terrain on this level is dark, so it's hard to tell what's black and what isn't.
Steel/One-way wall detection with bashers. Most often this works in your favour, but on one level, "And now, the end is near", it means you have to place your builders and basher PERFECTLY in order to pass the level. Which sucks since it's only the 7th level in ONML (excluding Tame).
Mining down to free lemmings. In levels like "Postcard from Lemmingland" and "ONWARD AND UPWARD", you have to place a miner so that the lemmings below can walk up into the tunnel, but the miner doesn't keep going through the bottom of the level. This gives you an area of (I've just checked this) 9 pixels in width from which to start mining, assuming the terrain is flat. That doesn't sound so bad, but when you have to mine a long way, it's very hard to see at a glance where you're supposed to mine from.
Wow, that rant turned out to be a little longer than expected.