The most annoying things happening during one's own turn

[Copper]

I personally hate watching the artillery replay and seeing all my shots go for no effect... This is a damning irritant, but none so much as the clicking "yes" on the End turn now popup...1/100th of a second too soon, as you remembered you forgot to to plot your artillery for the next turn...

The never ending retreating unit syndrome is worth a mention

and lastly, Opportunity fire that works when your Opponent needs it to, but not when you need it to...