I've had two real gripes with SQL. The rest of it has been, as you said, pretty good.

Complaint 1: Not being able to use selected columns later in the same select.

    SELECT
        gnarly_calculation AS some_value,
        some_value * 2 AS some_value_doubled

Instead:

    SELECT
        subquery.*,
        some_value * 2 AS some_value_doubled
    FROM (
        gnarly_calculation AS some_value
    ) AS subquery

Complaint 2: Not being able to specify all columns except. This combines with the above, where I have to pull some intermediate calculations forward from a subquery, but I don't need them in the final output. So I have to then enumerate all the output columns that I actually want, instead of being able to say something like `* EXCEPT some_value`.