1. It can take several minutes to find a decent release for titles that are older (>5 years) or less popular. 2. Older/Less popular items are poorly seeded, meaning I potentially have to wait overnight for the download to finish. (A new episode of a current series, however, usually comes in as fast as my broadband connection can handle). 3. Unless you know all of the release groups by heart, you have to spend a minute or two sifting through search results to find a release in a usable format in good-enough quality. Often I have to settle for something that plays fine in mplayer/vlc instead of something I can stream to my PS3 connected to my TV. 4. Maybe about 1/20 times I finish a download only to realize that it's A) not in the right language or burned-in with foreign subtitles B) terrible quality C) incomplete.
Sure, I get to keep the files, and often I can find stuff that streams on all my devices without hassle, but I watch stuff infrequently enough that the effort and possibility of failure is bothersome. I'd gladly pay to be able to choose a show and watch it immediately, assuming that the library of available content was large enough.