Hidden fees. It's never as cheap as the websites. Car rental firms need to go the way of the airlines and be up front about what you're actually going to pay.
This, I think, is the biggest problem. You get told your rental costs 100 Euros on a website, you do that and turn up and suddenly you're looking at paying two or three times that on top of a deposit which must be paid by a credit card and may well be above your limit.
I think this is largely a problem with holiday destinations trying to fleece unwary tourists, I've had good experiences with local van hire companies who make things straightforward.