Poor controls and long loading times...
Many of you might disagree with this, but I find that, given the angle at which one holds a PSP, it is very difficult to move the analogue stick quickly and accurately to the 6 o'clock position, then to move it similarly to the 12 o'clock position. If you get the backswing slightly out, you'll simply lose a bit of power; however, unless you hit the exact 12 o'clock position, you will either hook or slice the ball.
I've played these games for years on various consoles (since PGA Tour golf on the Megadrive) and I found this version to have the poorest controls of all, limiting my ability to progress through the challenges.
Another major disappointment is the long (and seemingly unnecessary) load times. Sometimes something as trivial as a menu screen requires a long loading wait. Also, the menu navigation controls are not very responsive, sometimes with a lag of up to a second from button press to something registering on screen.
When you do get into a game, the graphics and sound are particularly fantastic, which makes it even more of a shame that the aforementioned problems exist.
Here's hoping that Tiger Woods PGA Tour 06 addresses this version's shortcomings.
N.B. My scores are similar to the UK gaming magazine Edge's policy of 5 meaning average.