The most annoying problem I have with Linux is Copy/Paste. Copying something out of one application and then pasting it into another is like a dice game, you never really know if your numbers will come up and it will work or not. Then when it doesn't work you have to be creative to find a work around, maybe save as some file, edit the parts you want in a different editor and then maybe reload or copy from that new editor.
The biggest culprits are OpenOffice.org and Mozilla, but most KDE applications I've tried seem to work okay with each other, and OpenOffice.org/Mozilla to/from a KDE app seems to work, but OpenOffice.org to/from Mozilla is up for grabs. A line or two seems to work fine, but for larger amounts it just doesn't work.