RealPlayer gripes
I was puzzled that RealNetworks player, one of the few that still costs more than nada, does not have a volume control of its own. Say somebody calls you on Skype (or other IM / SIP) - when you mute the player, you mute everything. Supposedly you have to buy a computer dedicated to RealPlayer and another one for anything else.
I have two sound cards and I am again surprised that RealPlayer is the only player that I know which cannot play on any other sound card than the default one. (It sounds as lame as you would not expect it even from Apple.)
But by far the most interesting feature is that RealPlayer, even in its paid variant, cannot be closed with Alt+F4. They had to work a bit in order to disable this Windows feature, so they did it.