I think the most common one for me is on Wheel, when a contestant hits a larger space, but calls a letter that only appears once or twice. If they're clearly just guessing at letters, that's one thing, but it irks me a bit more when they know the puzzle and are just building the bank.
When Alex says there's less than a minute to go on Jeopardy! and the contestant in control trails, I always wonder why he or she doesn't start going for the higher dollar values, to close the gap. Sure you may give the leader a chance to pad his or her lead, but you also gotta play to win.