Sryth/YMMV

Goddamned Bats: Many of the regular enemies have a special attack that ignores normal defense and directly inflicts damage. This can be really annoying when you're trying to reach a difficult boss, or when you're low on health and Nevernal Reserve, and are trying to reach a place where you can heal. The only way to defend against such attacks is via effects that either make you immune to enemy damage, or stun the enemy, making him unable to attack you (the two amount to the same result).
That One Boss: Ildraria for some, due to her powerful specials that can inflict 100+ damage per strike. It's not unusual for a character to get killed by her three times in a row.
They Wasted a Perfectly Good Plot: The realm of Kyul-Thanor and the Icons and imbuable items. Once you have completed the required adventures (and thus gained access to this realm) you can find an Icon after every battle you win. These Icons can be used with imbuable weapons and armor to improve their stats. Unfortunately most known Icons are useless (since you don’t need their bonuses) and the few that would be useful cannot make up for the poor stats of the imbuable items – the best non-imbuable items are significantly better (and that’s without taking into account Tallys’ items).