Award Snub: While the film made a number of critical top ten lists, it was nominated only for Best Supporting Actor and Cinematography, winning neither. Special mention must go to Nick Cave and Warren Ellis' beautiful score which didn't make the list of nominees.
There's also, unfortunately, not even a category at most awards shows for the narration by Hugh Ross, which gave the film so much of its unique effect.
Ending Fatigue: The title event occurs about two hours into the film, but the film continues for more than a half hour, tracing the Ford brothers' lives for years after the event. Some viewers felt that the film should have wrapped up quickly after the murder, apparently failing to realize that Robert Ford is just as much a main character as Jesse James. A rumored director's cut that has yet to see the light of day supposedly continues for a full two hours after the murder.
Jerkass Woobie: Both Jesse James and Robert Ford. Jesse is a murderous bully and Ford is a sniveling snake-in-the-grass, yet both are so beat up by their problems that you can't help but feel for them.
Misaimed Fandom: As per the historical precedent, there are a group of viewers who still see Jesse as being a hero and all around wonderful person.