Some of this has been said by others, so I won't go into detail. Just as background, I'm running 5 15-16 lvl PCs:
- CR is a joke for determining balance and challenge
- The minor, medium, major designation for the random treasure charts is a joke for balancing rewards, as is the monetary cost of gear
- Magic items on NPCs necessary, but don't want the PCs to get all that gear
- Gearing NPCs is crazy; I have a barbarian with a free head slot; I need to look through helms of, helmets of, head-bands of, circlets of, and then see if there is a Berserk's Helm or Bear Helm or some other name that isn't in order. List items by slot first, power level second, and alphabetically third if it's needed!
- Finding monsters to fit where I need them - some MM have a nice little chart in the beginning listing creatures by type, but didn't they stop that with MM3 or MM4?
- Modifying monsters to fit where I need them (including advancing or templating them, which even though I got good at doing quickly, it never works out quite right CR-wise anyway) and making sure all monsters and NPCs are "legal" builds
- Creating a dungeon that actually challenges the party without negating spells and abilities or having to pull a "because I am the DM" situation
- Keeping combat exciting. I tend to find the "I want to stand here and swing 4 times" mentality a complete and utter bore, but the players want to maximize damage, and at high levels, fighting huge and larger creatures, moving is often the last thing a PC wants to do. I want more movement in combat! More use of the environment. I want to be knocking over chairs, leaping onto tables, doing cool things like that, but often it never helps anyone to waste time doing so (other than flavor...but there have been times, oh yes there have!)
- One die roll can wipe-out the party or kill the BBEG and ruin months of build up. Whether this be one solid great-axe crit or a failed disintergrate save. Even one spell cam wipe a party: a really "good" prismatic spray that fries the wizard for 80 (dead), stones the rogue (stoned), burns the cleric for 40 (ouch) and poisons (1d10 con) him, and sends the fighter to another plane (bye-bye! Plane of Neg Energy? Oh too bad!).
And my all-time number 1 issue with DMing in 3e
Having to play even intelligent monsters like morons. There is no reason I can think of that a dragon would waste time with the metal-encased guy with the sword instead of throwing everything he has at the guy in robes. Or that an orc warlord wouldn't command every single archer and fighter to charge the caster, even if it meant taking a few AoO on the way.
And yet, having done the tactical thing a few times, I know how badly it can go for PCs if I play that way. They know to go for the enemy spell caster, but if I continue to use that tactic, not only does it get boring, but the caster thinks I, personally, am out to get him.
Having more balanced spell-casting as well as more tactical reasons to not attack the wizard (the defender is nearby defendering or the leader's party assistance abilities are more of a threat) should cut down on my feeling like I can't do certain creatures justice without hindering specific players.