For example, Magnussen. He has so much potential as a villain, and just like as others have said, they ended it too soon. I was so sure they were going to continue his storyline into the fourth series, in the same fashion as Moriarty's arc.
And Mary. Oh, Mary. Where do I begin. I love her, but I hate how we are left with a few plot holes with her. And that shooting scene. Honestly, there was so many ways that could have gone (I'm not going to list them all, but if anyone wants me to, I'll be glad to). Her decision to incapacitate Sherlock and keep Magnussen alive has split the fandom. The easiest route could have been to just shoot Magnussen, keep Sherlock alive, get John out of there, and have the domestic when they got back to Baker Street. But then you could argue that they probably would have gotten caught because that was a secure place and some cameras could have caught them and they would have gone to jail anyway. Or Mary's easiest option would have been to kill both Magnussen and Sherlock, got John out of there, and have the domestic back at home.
But it's not about the easiest and most convenient way. It comes down to which would bring out the most dramatic outcome. (Because come on, this is Sherlock Holmes).
And you have to look at it from a storytelling point of view. Killing off Magnussen and Sherlock would leave us with nothing to work with. And just killing off Magnussen would have been a waste of a great villain and I don't think I need to explain what is wrong with killing off Sherlock.
I think people have a problem with this because there are so many ways you could view this scene, depending on how logical you thought her shooting Sherlock was. Maybe because it was a human error on her part?
But then we get into how this could have all been prevented in the first place, for example, Sherlock or Mycroft knowing about Mary's past. They are the Holmes brothers, Mr. Clever and the British Government. Did they not see that? Did they not do their research? Or did they know, but chose not to act on it? This final question lends to dramatic irony, one we won't see until series 4 or later (or maybe not ever).
There are just so many questions about Mary and it is a bit frustrating to be left wondering if they are plot holes or if they are going to fill them in with later series. My guess is the latter. And frankly, that thought of finding more about Mary and loving her more or possibly hating her is stronger than the frustration.