Besides losing a 99% battle...
For me, the thing I hate more than anything else in this game is when a missionary fails to spread the religion in a city I've sent him to.
I almost never reload the game. If I lose a battle or fail to get a wonder then yes I'm upset, but "it's part of the game". But when a missionary fails, I get sooo mad
and sometimes I will reload, because I feel like it's completely unfair that I spent all that time and effort to get the missionary to that city and then get absolutely nothing out of it - I basically have to start all over again because he failed.
With wonders, if you fail to get them, then at least you get some gold out of it - so it wasn't a complete waste of time to try for it. With battles, if you fail to win, generally you at least injure the unit you were attacking, which helps the next attacker improve his odds of winning. But when a missionary fails, you get NOTHING, it's a complete waste.
It's just so infuriating when you spend 3-4 turns building a missionary, spend several more turns moving them to their target, sometimes even have to negotiate open borders so that they can get to where you want them, and then, after all that, they FAIL!
And it's not like you can spam them, because you can only have 3 at a time. So it's not like I could just wait, build up an "army" of them, and send them over to convert someone and maybe have some fail, but ultimately get the job done - nope, you have to do it slowly, 3 at a time, and it's just such a huge setback when one or two of them fail, because you have to completely re-do that attempt.
I also hate it when it costs me even more production. For example, I settle a new city, some other religion auto-spreads there (this is also near the top of my list, I hate how only one religion can spread to a new city and how, somehow, it's usually NOT your state religion), I am running Organized Religion, so I have to build a missionary to convert the town myself so that it can get the 25% bonus - so I build him and send him there, and he fails, so I have to build another one and, during all those turns, the town is missing out on the production bonus the whole time. LAMEEEEE!
In fact, I take back the first sentence - I would rather lose a 99% battle than have a missionary fail! It's that infuriating!
For me, the thing I hate more than anything else in this game is when a missionary fails to spread the religion in a city I've sent him to.
I almost never reload the game. If I lose a battle or fail to get a wonder then yes I'm upset, but "it's part of the game". But when a missionary fails, I get sooo mad

With wonders, if you fail to get them, then at least you get some gold out of it - so it wasn't a complete waste of time to try for it. With battles, if you fail to win, generally you at least injure the unit you were attacking, which helps the next attacker improve his odds of winning. But when a missionary fails, you get NOTHING, it's a complete waste.
It's just so infuriating when you spend 3-4 turns building a missionary, spend several more turns moving them to their target, sometimes even have to negotiate open borders so that they can get to where you want them, and then, after all that, they FAIL!
And it's not like you can spam them, because you can only have 3 at a time. So it's not like I could just wait, build up an "army" of them, and send them over to convert someone and maybe have some fail, but ultimately get the job done - nope, you have to do it slowly, 3 at a time, and it's just such a huge setback when one or two of them fail, because you have to completely re-do that attempt.
I also hate it when it costs me even more production. For example, I settle a new city, some other religion auto-spreads there (this is also near the top of my list, I hate how only one religion can spread to a new city and how, somehow, it's usually NOT your state religion), I am running Organized Religion, so I have to build a missionary to convert the town myself so that it can get the 25% bonus - so I build him and send him there, and he fails, so I have to build another one and, during all those turns, the town is missing out on the production bonus the whole time. LAMEEEEE!
In fact, I take back the first sentence - I would rather lose a 99% battle than have a missionary fail! It's that infuriating!