Here's my small list:
1. Suicidal AI generals.
2. Lack of unit situational awareness.
3. 'Magnetic' Chevau de Frise -spellcheck-.
4. AI Infantry squares versus infantry.
5. BAI lack of 'proper' tactics.
6. Horse limbers on foot artillery.
7. Artillery calibration -too high at the moment-.
8. Reinforcement system.
9. Too few troops/formations -Grande Armee with 800 infantry, a couple hundred cavalry and a dozen cannons!?!
10. Elite unit limits for Grand Campaign.
11. Lack of LoS marker for artillery based on terrain elevation.
12. Sieges.
13. Super rebel stacks.
14. Chasing routed units all over the map. It doesn't have to be that tedious, really.
15. One-stack AI armies roaming around the map.
16. Big maps, low unit count. Really, with these map sizes we get 20 'blocks' to play with at most?
17. Backstabbing allied/trade agreement CAI's.
18. Limited scope and focus of Grand Campaign.
19. Scripted mini-campaigns a la RTI.
20. Single province Spain.
Phew! Maybe more will follow...