The one part of the system that immediately sprang to mind when I read the question, though, was the Sound preference pane and, more generally, the whole process of dealing with external sound devices in Mac OS X.
I can't even explain to you why it's so annoying, but I seem to have this constant battle between where my audio output goes and where the system sounds go. And why, for heaven's sake, do the keyboard volume controls always seem to be operating on some sound output that's not currently being used?
And why, when you plug in USB headphones, doesn't the output switch to those headphones? One would bet that "I've plugged these in, so I want to use them now" is a pretty decent heuristic for switching the output channel.
Don't even get me started on input.