I generally don't have a problem with CAPTCHAs, as it has gotten to the point where it is now rare to sign up to anything on the web and not encounter a CAPTCHA, and generally they're easy enough to get past so I just don't find them a big deal.
However, when I do have a problem with CAPTCHAs is when they're ridiculously hard to pass because they're so horribly obfuscated. For example the CAPTCHA that MegaUpload
currently use. I cannot for the life of me successfully get past it, and have yet to succeed a single time, and so have sworn off using their website anymore because it is just too much of a hassle.