Like Dario, my biggest problem is also out of round barrels. I've noticed that the slightest thumb-nut pressure makes the mandrel curl slightly. I figured out (recently) that this is probably due to a dull pen mill, which leaves chatter and causes the blank end to be uneven. That's my guess anyway. I'm going to sharpen my mill before I turn my next pen and see if that's right.
Finish is my 2nd biggest problem, though I've got a nice system with dipping in minwax sanding sealer. It does tend to stink for a few days though.
Rob
EDIT: Wow, I had no idea that so many people had the same problem I do. I also need to sharpen my tools more often. This has been really helpful, as I might just go out and buy a bealle chuck. Thanks for being honest folks.