This whole "if one of your units dies, you have to wait for the enemy to SLOWLY finish their turn, then reload a previous save, then go through all the dialogue and other shit leading up to that point again, THEN you have to hope that your unit actually gets an easy headshot rather than miss and get blown away" thing, that Valkyria Chronicles has going, is really really annoying.
A simple "restart the level" button in the menu would be fucking awesome and really easy to implement rather than me simply going to a previous save. It'd also be harder to abuse rather than the whole "oh hey, my unit did what they were supposed to do, and killed the enemy I wanted them to kill? SWEET. Time to save" thing...
Besides that, this game is fucking win.
Oh, and there's the "I WILL NEVER HIT ANYTHING I AIM AT" thing that some units have, but I've just thrown them out of my squad. Like this one Lancer I had that missed a tank that was 20 yards away from him, despite aiming center mass, and his rocket killed a random Shock Trooper because it collided with his face. After the 20 seconds of laughter died down, I threw his ass into the abyss.
Oh, speaking generally:
Shitty UI
A bad soundtrack
Poor balancing
That pretty much covers everything else.
Edit: I forgot to complain about the cutscenes that are not really cutscenes in Valkyria Chronicles! You know how normal cutscenes work right? You sit back and watch the dialogue to through? Well there are some of those in Valkyria Chronicles, but there are more cutscenes that aren't really cutscenes, because you have to manually cycle through the dialogue. They are entirely story driving aspects, they are not part of the gameplay, they are "click here to watch this! now keep clicking so you can keep watching it". It is like the animators got too lazy to make ALL the fucking cutscenes into FUCKING CUTSCENES.