My biggest peeve
There are many, but after running windows 8 for months on my main machine, the biggest issue is creating a desktop short cut after installing an application.
Unless the installation does it automatically, I find I have to trawl file explorer to locate where the application is installed to create a shortcut
Which is a pity, because windows 8 is actually quite a smooth desktop experience and almost as powerful as some linux window managers :) , it is all spoiled by it forcing to go back to the unnecessary metro interface when try and do anything