My big problem with SQL is that I want to do the query planning. Sure, the database can often do a better job -- but I want to be able to guarantee upper bounds on things, damn it! I've seen so many weird edge-case performance problems that boiled down to poor query plans. Things will be fast most of the time and then, suddenly, the database will look at its stats and decide to do a full table scan, and then everything goes straight to hell and stays there for too many milliseconds.

If I ever cross paths with a database, I'll spit on its shadow.