My favorite game is Twilight Princes. Let's see...
I don't like much getting stuck at dungeons, so I didn't enjoy much the lake temple nor Snow Peak (I know, everyone loves it and it was fun ecause it was so different from everything before, but it was terribly frustrating to find at last someone stronger than you who wanted to help you and still made you do all the hard work!) But dungeons are part of the fun, so that wouldn't be it.
What I really disliked about the game is within the story itself, having Link caring that much about the people, especially the children. Everyone was all like "Thank you for helping us, you're such a nice person!", when I just did it to get on with the story and all I wanted was them to get lost. Besides, I also found that the bad guys in TP are a bunch of sissies: Zant start the game with a massive invasion on Hyrule, oh, everything is lost, but as soon as you bring light back to the lake spirit, that's all. Zant's army and power completely disappear, except for SPOILER him taking the fused shadows and smashing the mirror. After Midna's desperation all that is left until Twilight Palace are only lost bublins to attack you in Hyrule, all the other evil is due to the pieces of mirror, not to Zant. He proves to be as weak as useless, which makes me reconsider the whole game and see that, actually, there was no thread at all.