I can't stand the iOS client and how it handles navigation. I should be able to swipe left to right and always be brought back to the main menu. Instead it's the equivalent of hitting the back button and I sometimes cycle through window after window after window.
Their reliance on playlists continues to piss me off too. If I only want to listen to a specific artist I have to search for them, and hope they come up in offline search, and then hopefully pick what would be track 1 of the album.
The desktop player looks like something from someone who just learned about HTML, iframes and tables back in 2000.
And yet it's still infinitely more reliable than Rdio.