Another pain I've noticed is stuff like RegEdit which doesn't provide a way, once you're loaded it normally, to elevate to admin when you need to edit HKLM keys. You have to exit it, lose where you were and manually run it as admin.
And if you need to do stuff in both HKCU and HKLM you've got to remember which user the program is running under and switch between the two.
The file permissioning dialogs also have similar problems in some scenarios, including sometimes when running as limited-admin. I've had to kill Explorer.exe and re-start it as (non-limited-)admin in order to edit permissions because the file permissions dialogs didn't think elevation was needed (when it was). Access denied errors instead of elevation prompts.
Ofc. both RegEdit and file permissions dialogs are in desperate need of nuking from orbit for a number of reasons. 
For starters, WTF can't I open two copies of RegEdit at once so I can look at two parts of the registry side-by-side?
WTF isn't there a button to quickly switch between the same keys in HKLM and HKCU?
WTF is the tree view forced on is when it is inherently unsuitable to registry navigation? (Deeply-nested keys with very long names.) Why can't we see both keys and values in the right-hand panel? (I started writing a registry virtual-filesystem plugin for a file manager I used and it's incredible what a difference it makes to be able to navigate the registry without being forced to use the tree. I must finish that at some point.)
Has anyone ever used RegEdit and not come away frustrated? 
As for the file permissions dialogs, what a trainwreck of terrible UI design and an absolute failure, for two OS releases in a row, to refactor them to use UAC properly.
Here's what I filed back in the Win7 beta regarding file permission dialogs (mayeb for Windows 8, eh?):
http://www.pretentiousname.com/misc/win7_filepermdlgs.html
I do dig Windows 7 but man I wish MS would pay some attention to stuff like this that is such a constant annoyance for people doing admin stuff. Far more annoying than the UAC prompts ever were, IMO.