Here are some rambling bug bears of mine:
The BT seem inept in Heretics. For all their vaunted experiences and their long term plan, a few clues and a bit of analysis was enough for the BG to turn them inside out and lead them around by the nose. Scytale in Messiah was able to cross swords with Mohiam, and they were at least equals, perhaps Scytale was even more capable then Mohiam. But Waff is inept, and Scytale in Chapterhouse is a pale comparison to Scytale in Messiah.
Sheeana bugged me a fair bit. Perhaps it was because we never saw where the BG plan for her was going after chapterhouse, but I never really got into her.
There were some shallow / pantomime characters that pissed me off a fair bit. Yueh. Wensencia. Farad'n was built up to be this big thing and then he just becomes a scribe and a stud. Felt like a whole part of CoD that was unnecessary.
At first I thought Messiah was pointless and just plodded along, but then I realised the concepts introduced in this book that really shape the rest of the series: Ability to restore a ghola's memories. Total prescience is not actually all it's cracked up to be. The Bene Tleilax.
The BG felt a bit bumbling for the first few books. It wasn't until GEoD that we started to get an idea of what they're really like, and it really isn't until Heretics that we see the inner workings. I quite liked the last two books for this exact reason.
I thought Moneo was a bit of an idiot by the end of GEoD. Complaining about everything. Seemed really upset about not getting to bang Hwi.
Hwi I thought was OK, a bit soporific, but an important tool for the story so we could learn about Leto II's lingering humanity. Gave us some insight into Ix as well which we don't really get at any other time.