I love The Sopranos. It's quite possibly the best television show to ever air - it's dramatic, deep, hilarious, gut-wrenching, and thought-provoking. It's brilliant - and more or less singlehandedly elevated television as an artform.
That being said, there are a few things that nag at me every time I go back to it. But don't worry - I'm just breakin' balls here.
1. The therapy is mostly a pointless waste of time
The initial hook to The Sopranos was "a mob boss who needs to see a therapist! How wacky!" Then Analyze This came along and kinda sucked the air outta that sail, but that's besides the point: Tony's therapy in season one is pretty important to the plotline and relevant to Tony's development as a character.
But as the seasons wore on, the therapy became less and less essential, and seeming more and more like wheel-spinning. Whereas Tony's therapy was a huge deal to other characters in the first season (both as a sign of weakness and a possibility that Tony is divulging family secrets), suddenly no one cares at all in later seasons. And the therapy never really solves anything - Melfi can never delve deep or specific enough into Tony's life to provide any real insight, and the show never cares enough to tie the therapy into the main plotline. And it seems like the writers were aware of this, having Tony quit therapy at the end of pretty much every season (usually because he was bored by it). The series even ends up closing the book on the therapy storyline by having Dr. Melfi come to the conclusion that therapy is pointless for a sociopath like Tony Soprano (a revelation she'd had a few times earlier in the series).
And that's not to say the therapy was COMPLETELY pointless - Lorraine Bracco did great work, Employee of the Month is a stellar episode, and it explored some aspects of Tony's character that would have had no outlet otherwise. But a lot of times, it just made nuanced subtext into beating-us-over-the-head obvious text, and felt like complete filler.
2. One of the most central characters on the show is played by the show's worst actor
Silvio can be a very funny character at times, but that's mostly because he's kept in the background and really isn't asked to do much, except make faces and act crotchety. But the fact that the actor playing him really isn't an actor (and is more a guitarist for Bruce Springsteen), a hugely integral character to the show basically never does anything meaningful or gets an actual storyline.
Still, Sil's fun 'n all, but you'd imagine Tony's closest advisor and a key member of the family would get SOMETHING resembling a storyline at some point, but it's pretty clear the writers really didn't have any faith Steven Van Zandt could pull off much more than a half-assed Godfather impression (THAT WASN'T EVEN THAT GOOD). Why they never had Silvio doing a wicked guitar solo though is beyond me.
3. Christopher makes a pun about La Cage aux Folles
After the revelation that Vito was secretly gay is exposed, everyone in the Soprano crew gets their jokes in - but Christopher's is to refer to the (formerly) portly capo as "La Cage aux Fat." And while all the writers of the Sopranos are well-educated intellectual types, pretty much every member of the Sopranos is sorta hilariously dumb, and definitely aren't referencing French-named stage plays. Chris is the the character who was astounded to find out the Russian Missile Crisis was real (he thought it was bullshit from a movie), and said:
Something tells me the first thing that would come to Chrissy's head when he finds out Vito was gay was not puns about a stage farce.
4. Let's take a moment to remember that The Sopranos used a gun for the R in the logo like it was some kind of direct-to-DVD Steven Seagal movie.
Like, I'm sure they didn't realize they were making one of the most prestigious dramas to ever grace television screens when they first farmed out the logo design to some random graphics company, but it really does have the aesthetic of a cheapo action flick.