Microsoft has the Connect site, which works as a public feature request and bug report database for most of Microsofts products. At times, I do file bug reports on that site. The bugs have a "vote" feature, where the Microsoft groups apparently may pay more attention to a bug with higher votes. Thus, I'm figuring I should evangelize "my" bug entries here -- if you feel that the anecdotes and code on this site are useful, you can help me get more of that done by voting for fixing the bugs that get in my way! (And they'll probably get in your way, too, if you develop in the same areas as I do, so you'd not only be doing it for altruistic reasons)
Here's a list:
Visual C++ erroneously emits warning C4717: function recursive on all control paths, for functions that aren't.. This is annoying, because typically you'll want to compile your projects with "warnings are error." If you do, then this spurious warning breaks the build. Sprinking #pragma warning around the code is a poor work-around.
XNA animations from X files are padded to 1 second on import. This means that you can't import animations shorter than 1 second without getting a long pause in the middle of a repeating animation (like a run cycle). It's been in the XNA pipeline forever, and they still haven't fixed it. It's almost as if they don't care that much about real 3D development, preferring to focus on 2D games...