montcer9012: The lack of save games. It was very annoy to take note of level codes in order to play from there.
I was going to mention lack of saves, but in some cases, I actually liked that. Made some games like Dangerous Dave and Prehistorik all the more interesting because you relied on lives, so you had to make choices like "is it worth geting those points for extra lives, or is it too dangerous"? It was pretty fun playing it with friends.
When I played Commander Keen 1-3 (save only in between levels) you got that "Yes! Finally!!" feeling when you beat a particularly difficult one. In 4-6 where you could save any time, I couldn't help saving every little bit and that feeling was no longer there.
That said, games which couldn't be beaten in one go, and should have had saves between levels, but instead relied on level codes were indeed annoying.
EDIT: and good to see you again, montcer!