What drives me just plain nutty and makes me want to run around screaming every time it happens is the undocumented "feature" of the (so-called) XP firewall that automatically (and permanently) opens up certain ports without promting you, even after you've closed them down!
Most people--even the technically savvy would never notice. After all, you left everything closed last time you were in there, right??
I've found this to be the case with MSN messenger (which is labelled VERY crypically for most users) and the Windows Media Player (which has about a dozen ports it likes to have opened).
A firewall that automatically, *permanently* opens up ports without asking the user? Huh?! You have got to be kidding me, right?
Can anyone imagine iptables, ipchains, ipfilter, or pf doing this? The various authors of any of these programs would be summarily beaten, dragged through the town square at high noon, and then ridiculed for putting in a "feature" like that.