What I have found frustrating lately is the exponentially increasing stat/difficulty curve at the upper end of the leveling path.
I am lvl52 or so now and just got to hell difficulty. And I get pwned all the time. I die maybe 3 or 4 times at least for each champion/elite pack I come across. 3-mod enemies blow, especially when it's cheap crap like mortar/waller/jailer, or horde/fast/invulnerable minions.
I don't do much on the AH. I picked up a better bow for my DH back in Act3 or so of NM for maybe 3000 gold, because back then it was already getting too hard just to get by on items I found myself.
Anyway, I am definitely at that "gear wall" point where I probably need to sit on the AH for hours just to assemble a new set of competent gear otherwise face a frustrating struggle through Hell difficulty. And probably have to go do it all over again once I get to Act2 of hell. However, if I go back to Act 3 or even act4 of NM, I can blow through and almost 1-shot everything, and rarely die. The difficulty curve is so steep that you either get your ass handed to you pushing the quests forward, or you go back and faceroll everything in the previous act. There is no middle ground of healthy challenge.
You can see it in the stat/item distribution too. People are topping out in the tens or hundreds of thousands of DPS at lvl60, whereas you start out doing 10 dps at lvl 1. That is a difference factor of 10,000, and considering you are still only doing say 1000 dps at level 30, it is totally out of whack. I'm lvl 52 and still only doing on the order of 2000-3000 dps (unbuffed) whereas just 8 levels up I will be doing 10x or more the damage. This outrageously steep curve means your gear is eternally outdated as the next level up the gear is going 2x-3x the damage, and you're back to that either getting owned or owning everything in sight situation. The whole game then just descends into AH camping.
I may not even bother to hit lvl60 anymore and just go back and try leveling a different character class.