Kinect being a large focus of the next Xbox is a given, so I guess my nightmare announcement from MS would be either motion control only, or Kinect not getting an upgrade with next gen. Also, if MS wants Kinect to be taken seriously (and they do), then it needs to be bundled with EVERY unit sold. Only then will it possibly blossom into something that really interests me, by allowing developers to deliver on the concept of Kinect augmenting a game that's primarily played with a standard controller.
For Nintendo, the nightmare is that Cafe really is only marginally more powerful than what we already have (this nightmare is officially upgraded to night terror(!) if MS reveals their new console at E3 2011 also). Also, if Cafe doesn't have a controller with two sticks and +/-10 buttons in the box.
For Sony, my nightmare is that NGP is more than $100 more expensive than 3DS (which is still probably too expensive).