The Global Interpreter Lock.
Lack of decent frameworks... there's tons of stuff out there, but most of it suffers from either "not enough care" or "too many cooks" or "WTF... you guys need to document this shite" syndrome.
No central code library, and a lot of stuff needs C compilation for installation.
Wonky closures, which are actually being removed (le sigh) in favor of predefined functions (le sigh sigh).
Some other more minor problems, but those are the more irritating ones.