Here are my gripes that I'd loved to see fixed (so far I only played with Germ)
#1 Load Games
10 mouse clicks to load a game?
Implament quicksave and quickload.
#2 Doctrine Feedback from the Frontline
Active combat should help Land doctine research (Guderian speeds up his blitzkrieg research if he's getting info from the front) Same for air and sea. So the more combat you're involved in, the more research spurts you get. Should work just like a rocket/nuclear instalation for those fields of research, respectively (Number of divisions involved in combat[max10] = Size of reactor[max10]). When combat stops, research bonus stops too.
#3a Encircled Capitals, Surrounded and Invincible
Like I was writing elsewhere in this forum:
I had really horrible experiences with encirled capitals. Actually this is the worst aspect of the game IMO. I encirled Moskau, but it was already Nov and all my units around it were disorganized and with depleted strength. I figured I'd wait until spring while the the Army gets reinforced and reorganized. Within aweek he had 3 more units in Moskow, then 6 more, then ten. I tried to keep up and bring in more myself, now I was worried about a breakout, plus I was gonna need them now for the attack. By March he had 75 divisions in Moskow, surrounded by about 50 of mine!!!

WTF??? 90% of both of our forces were concentrated there. I tried attacking but it was hopeless. They wouldnt starve because it was the capital, although the country wasnt connected to the capital anymore. Ruined my game. Something's gotta be tweaked here!
It happened in the next game too in France. I conquered all of it, except for the Bordeaux and the Maginot line (no Vichy offered). The Maginot was cut off from the rest of the country right off the bat after my invasion, so now they were weakened by attrition. Bordeaux was undefended. I figured I wont take Bordeaux to keep the Maginot line weak, but when I order all of the Germ army to Maginot, one of the idiots decides that the shortest way is through Bordeaux! The French move the capital to Maginot. Since I dont usually rely on saved games and my last autosave was 5 months ago (before the entire invasion) my whole plan was ruined. Panicking I threw everything at the middle Maginot province (Strassbourg?) and took it immediately and saved game. I figured this was gonna be easy anyway, np... The 6 french divs beat the crap out of the entire German army that just conquered their country. Loaded save (why does it take 1 min and 10 mouse clicks to load a game for Paradox???) and tried again. Made sure that the generals' abilities were not overtaxed, used tac bombers... failed again. All my troops were fighting at 1% eff, his at 100+%. Finally, I had a weird idea: open the encirclement and tempt him to move some troops out of the Maginot province. AI moves 3/6 out! TY! When I tried the assault the n-th time it worked, mostly due to shifting my units in and out of combat (beat up ones ordered to stand donw and fresh divisions thrown in instead every few days.)At least this one didnt ruin my game. Same gripe as above: I dont understand how cut off units that couldn't be supplied 1 day ago, could all of the sudden be in top-shape, just because AI/French leadership decides "we now rule from ... over there." There was no France anymore for gods sakes, only a landlocked pocket and the colonies.

After I finally beat him, my gloating was interrupted by the realization that I probably lost about 200+ manpower just to beat those 3 bastards. Pyhrric.
#3b Overstacking
This ties in with the previous point about Moskow. I think there should be a province overstacking penalty (not just for leaders.) You simply shouldnt' be able to keep a whole nation's army in 1 province. A cap depending on the province development should make sense, surpassing it should affect org or maybe even strength.
#4 Unit Speeds
Enemies move faster than my own troops IN MY OWN TERRITORY. Some Belgians from Afrika landed at Kiel and took 6-7 provinces, before one of my armies went from Cologne to Wilhelmshaven.
#5 Experience from heaven
Air atacks give best exp - cool but unrealistic. I usually get my troops bombed by enemies on purpose (especially as Germany in France); heck I wish I could get that fat idiot Georing to bomb them for me for the great experience.
#6 Leaders skills
Germ leaders too wussy. Often high skill but low ranks. In 1940 I saw a russian Rokossovsky, Pz Leader, skill 5, Rank (9divisions-what is that?) far outstripping Guderian or Rommel. I've seen others complain about this.
#6.1 Old Guardsmen
I sooo want to get rid of the damn Old Guard. They are always in the way when I am looking for a new leader to assign. Make them retire-able.
#6.2 Sorting leaders
I wish there would be a skill-button for every leader skill. When you deselect it, all the leaders with that skill are taken out of the list. Alternatively, you can make it so leaders are only displayed in the list when their trait is selected. Either way, large countries DEFINITELY need this.
#7 Expeditionary forces
Cannot send expeditionary forces to non-allies (i.e. in HOI-1, used to get exp for leaders in the spanish civ war, by literally sending them there. This was very realistic/historically accurate.)
#8 Axis alliances
For Germany, Italy is difficult to ally with, same Japan. (Most ppl agree here as I've seen on the board.)
#9 Easy Sea-lion
Britain hardly defends itself. (still)
#10 Unappreciative bastards
Giving generous gifts in "open negotiations"-dialog doesn't positively affect the relations between countries in the slightest. I was hoping that unloading tech and resources on them would be appreciated.
Neither do active trades. (It would make sense to me that these actions would make a positive difference in diplomatic relations.)
#11 Vichy
France has Vichy Puppet happening to them if war starts normally, but if the allies declare war on Germany before (for example if the Checks refuse annexation) it is completely ignored. The partisan resistance over sucha territory, so early makes the game very annoying thereafter.
#12a Occupied but not Owned
While allied with Romania and conquered their national provinces from the Russians (Iasi, Chisinau, etc) , I couldn't just give them to the Romanians (to handle the partisans and spare me some Garrison/MPs) Supposedly, ocupying and not owning doesnt give you the right in HOI2 (but in RL, Romania got them all the same, in spite of USSR never quite buckling to the Germans).
Similarly, if I want to create Ukraine, seems ridiculous that I would need Stalins approval. Liberating countries, giving provinces should be possible in OCCUPIED status, not only OWNED.
#12b Friendly partisans
The other point above is who was partisan-ing against me in these provinces, the Romanians? They're my allies!
#13 The Apathetic Liberated
Creating, some liberated countries is completely useless. If left ungarrisoned, you're just making an empty country ready for the enemies to take over. For some reason they don't seem to bother making any units in the middle of a war.
Hope it helps,
Sven_Hassel