Explosions in games are often pretty lackluster compared to other visual effects. This has improved dramatically in the past few years thanks to 3D technology, but they're still an area where problems can stick out like a sore thumb, because explosions are inherently spectacular and attention-grabbing. This is most noticeable (to me) in a first-person shooter; the explosions are often the least impressive effects in the game, it seems.
Here's a screenshot from Winter Assault (click to enlarge):
Now, overall, I think it looks pretty nice, including the explosions. The explosions aren't quite as nice as they are in Command and Conquer Generals, but they're pretty damned attractive. Then you see the dreaded polygon clipping at the bottom. Being the anal, picky type, those kinds of things annoy me. I'm also somewhat annoyed by the silly shadows; I generally like to turn shadows down to their minimum settings in games because (1) I like soft blob shadows, (2) shadows are an expensive effect, and (3) shadows often are crappy and blocky, especially in a game where you aren't supposed to notice them much. If you expand the picture you'll see the crappy shadow underneath my Avatar in the center.
Many modern FPS games already have some pretty incredible shadow and lighting effects, and I imagine that over the next few years those advances will transfer over to other types of games, where they aren't nearly as important for immersion. Clipping problems are getting harder and harder to notice. Someday I'll have to find new glitches to be anal about.
Maybe trees. Trees are incredibly difficult from a technical perspective just because there are so many things to calculate on them. Guild Wars has some very nice trees. World of Warcraft does a pretty decent job for low-polygon trees, but they're not that good overall. But still, they're another area where it's very clear that technical limitations are still more important than artistic freedom.