The ones that I've found more annoying than amusing are things such as:

- The maximum cash of 30M (10M or something in the deluxe edition), at which point you can no longer make a profit without jumping through hoops

- Not a bug, but the limits on the number of trains and stations combine poorly with the above

- If you have multiple rate wars at the same time, you only get the periodic status report on one of them, forcing you to play blind in the other ones

- In the deluxe edition, I'm pretty sure there's an overflow or some other kind of a bug in the final score calculation that has significantly dropped my final scores on multiple occasions

One that was more amusing was that I think if you bought control of two if the other companies, you were also able to access the third one (e.g. to transfer money to yourself) by using a bug in the broker menu.