Shoelaces. Difficult to arrange so they're the same length coming out each side, and so that the shoe grips the foot comfortably; and once that bit of plastic round the end of the lace comes off, impossible to re-thread. (Plays netball; trainers tied tightly round the whole foot are essential!)
DVDs: having to go through endless menus to watch the damn thing, skip the adverts, which is sometimes impossible. Back in the day of video cassettes, I used to make a point of rewinding them to just after the adverts at the beginning. I used to do this with hire ones as well.