A major pain point for me is not being able to use https with my App Engine apps that have their own domain names: http://code.google.com/appengine/kb/general.html#httpsapps
Honestly it's pushing me to look for other hosting options (Rackspace, AWS), though I'm really really hoping I won't have to do that. I've invested a lot of effort in various App Engine APIs, and it would be a pity to have to re-do all that work.