Seems like a bit of a loaded question. It’s pretty hard to pin down my least favorite thing about Mormonism as a religion. I love it! I believe it!
That said, there are cultural aspects associated with Mormonism that annoy me, particularly the Utah brand of Mormon subculture. They tend to be somewhat exclusive and can leave non-Mormons feeling left out. Things like premarital sex and pregnancy or smoking can often lead to ostracism.
Additionally, I wish the Church were more willing to confront difficult aspects of our history or doctrine. For instance, in the past the Church had some racist policies in place. Only recently did we offer a substantial and frank statement on the topic, owning up to the misguided policies. I wish we would handle that more often. Another example is that some teachings promoted by past leaders are no longer taught and were never accepted as doctrine. Nevertheless, there was a big push from the very top on some of them. They quickly fizzled out, but nevertheless, they left an impact. I wish we could address these sorts of things at church instead of waiting for someone to read about it on an unfriendly website. I understand the reasoning, not wanting to expose people to things that are hard to explain when their doctrinal understanding remains immature. Still, most people will learn of it eventually, and I wish we controlled the discussion more instead of those hostile to our faith who wish to misrepresent us.
In a similar vein, there are doctrines we still teach but that we are a little more cautious in how we share them. For instance, we believe man and God are of the same “species,” if you will. We believe we can become like God some day. We still teach this doctrine first introduced by Joseph Smith, but very carefully, and usually only delve into it when we know the audience is more familiar with the basics. In the past, I felt we weren’t so shy about such things. Again, it leaves the critics too many opportunities to make us sound like a sci-fi religion: “Oh, you know Mormons believe they will get their own planets some day!” Mormon scholars of the past would hit the heavier doctrine without shyness; scholars like B.H. Roberts, James E. Talmage, John A. Widtsoe, Bruce R. McConkie, Joseph Fielding Smith, Jr., and the like. These men would discuss these heavier doctrines in prominent places, such as at the pulpit during general conference (a time when the entire Church gets the opportunity to listen to or read the words of our leaders). Now, general conferences tend to be more like lengthy devotionals. Yes, they are inspiring, but they lack the depth they once had.
One final thing: we are The Church of Jesus Christ of Latter-day Saints. This is something we have been pushing for more in emphasis, particularly in general conference. Still, there are some members who dwell too much on our exotic and distinguishing doctrines, when really the core doctrine is that Jesus Christ is our Savior. We are Christians first, and all that other stuff second. As our founding prophet Joseph Smith said, “The fundamental principles of our religion are the testimony of the Apostles and Prophets, concerning Jesus Christ, that He died, was buried, and rose again the third day, and ascended into heaven; and all other things which pertain to our religion are only appendages to it.”