I hate how hostile and incompetent the US immigration process seems to be for foreigners. It's sad to go by an embassy basically anywhere in the world, see the fortress that is the US embassy, and the huge lines and amount of documentation needed for people to get US visas. Even worse is the non-deterministic hell on actual arrival.
I'm glad I've never had immigration or customs problems anywhere, despite going to some really sketchy places (flying into Iraq as a civilian at the civilian airport with no visa a few times after the invasion...) or otherwise bending the rules ($200k in computers, including 6 big 21" CRTs, on my way to set up an office in Anguilla...).