The thing that annoys me the most about localization. When things are not just altered but REMOVED from games. Some of my favorite (least favorite?) examples:
Rival Schools & Project Justice had create-a-character modes. For the U.S. versions they inexplicably removed these features and just added a ton of characters created using that feature.
Super Smash Bros. Melee had a trophy removed...a character from the Famicom game Devil World.
The Japanese version of Yo! Noid (I can't remember the name...it wasn't a Noid game) had an extra level. You can only get this level on the U.S. version with Game Genie.
In Final Fantasy 6, Cyan (Cayenne) could read books in his room, and one of these books taught him how to use the "Tools" command.