The February issue of WindowsITPro has an interesting article about Group Policy annoyances (subscribers only). I think the most common problem is Group Policy settings not taking effect immediately. You change a setting and reboot the machine, but the change doesn't seem to show immediately.
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The cause for this problem could be that Group Policy Objects (GPOs) are processed asynchronously, by default. This means that processing occurs while Windows is still working on presenting the logon screen.
There are some Group Policy settings that need exclusive access to the computer or user environment. The most prominent ones are Software Installation and Folder Redirection. The latter might become important when you work with roaming profiles and start deploying Vista. Check out this post about Windows XP and Vista interoperability of roaming user profiles for more information.
There is a setting that tells Windows to process Group Policy synchronously. You can find it under Computer Configuration\Administrative Templates\System\Logon. You have to enable the policy "Always wait for the network at computer startup and logon". This way, Group Policy will be processed synchronously. Note that this will increase the time needed to boot-up and logon.