FE2 - Making the two lords groups separate. It's an original idea, but I'd prefer only using the girl's group, cause all of my characters in it rocks HARD, while Alm's group is almost getting demolished every time they fight at least 3 mages. (My first time through, maybe I've got screwed friends.)
FE3 - Started it not too long ago, can't say.
FE4 - Uselessness of foot soldiers on some maps, and getting rushed by cavaliers, who all attack the same character. That guy has to endure 6-7 cavaliers attacks.
FE5 - Chapter 24x proves that IS is evil. Really really evil. Also some parts of the game are really luck-based. On a sidenote I didn't mind the 20 caps, the game's difficulty was really well made around it. I also liked the 1 to 99 RN, it adds a level of insecurity, found it great.
FE6 - Almost being forced to use one or the two cavaliers that serve Roy for supports so he doesn't get his ass handed to him. The likeliness of a unit being RNG-screwed, which I found to be higher in this game, don't know why. Maybe it's PEMN.
FE7 - Having to go through Lyn's mode every playthrough if I wanted to boost someone in it and get the stat-boosters on someone from it too. Also almost needing it so Lyn ain't garbage when she joins. Nino's stats, level and join time.
FE8 - Ewan. The game's overall difficulty. Game is too short.
FE9 - The amount of bonus exp, though I still have to play ard mode. o_o *runs off*
FE10 - Haven't tried it, but I'd say the healers speed cap... and being able to give anyone's skills to anyone, though I don't know the details.
FE11 - TEH GRAY X_X Horrible backgrounds, I thought the colors died. Reclass system...