Demonic Spiders: Stone Golems don't seem that bad when you first encounter them. Sure, they fire shock spells that deal a lot of damage, but they're still easier to take out in hand-to-hand combat than their cousins, the Iron Golems. Then you find in the last several dungeons they love to stand on top of tiny ledges and islands and pelt you with shock spells from a distance while you try in vain to get to them. If you didn't see the value of potions, spells, and items that give you the Levitation ability, you will now.
Game-Breaker: The Troll's Blood spell, which non-mages can also use through artifacts like the Lord's Mail or the Necromancer's Amulet. It regenerates health over time, which admittedly doesn't do too much good in a tough fight, but it makes dungeon crawling so much easier because you no longer have to worry about safely camping or stocking up on potions to restore your health. This is especially because it not only slowly brings your health back up, but the way the spell works you only need to camp for one or two hours to bring yourself back to full health rather than the often risky nine or so hours you'd usually need. Also its effect doesn't go away until a fairly lengthy amount of time passes or you leave the dungeon you cast it in.
The drawback, at least for non-mages, is that if you use an artifact that has Troll's Blood too many times it disappears and you'll have to retrieve it from its dungeon again. Luckily you can restore the uses by getting the equipment repaired, albeit for a hefty price tag.
Good Bad Bugs: It's possible to beat the game by collecting scrolls in a single dungeon roughly 18 times, due to the plot-important item in it respawning. Also enemies get stuck in walls constantly, you can stack Amulets with the Necromancer's Amulet to create a huge defense bonus, exploit the repair option at equipment stores to replenish the number of artifacts' special ability uses for 13 gold in one day (the default option is 10,000 gold for 10 days), cause the amount of items in treasure piles to go up simply by climbing and going down dungeon stairs, and duplicate weapons and armor. A simple one that really helps players, though, is that, while you were meant to only get one artifact (at least until you use that artifact's special abilities enough times it disappears from your inventory), you can use the artifact's magic abilities at least once, leave it to get it repaired, and Non Player Characters will start nudging you toward side quests to acquire more artifacts again.
Scrappy Mechanic: Not being able to save inside certain areas, such as stores, temples, and (most egregiously) taverns. Meanwhile, you're free to break into people's houses to save and rest all you want on private property. Obviously, someone at Bethesda realized how idiotic this rule was, since all TES games after this one allow you to save wherever and whenever you wish.
The Fortress of Ice, the fourth dungeon in the main quest (counting the Imperial Dungeons). It's swarming with Snow Wolves who fire devastating ice spells at you from the darkness, strong knights who will attack in pairs or even trios, Ice Golems who are actually impossible to damage unless your weapon is strong enough and they too will attack two at a time occasionally, and, oh yes, there's virtually no spots where you can safely camp to recover your health. It's a sharp learning curve, especially for players who have stuck closely to the main quest and haven't yet really tried picking up any artifacts or at least finding or buying enchanted equipment and raising their levels through side quests, and is actually considerably more difficult than the next dungeon where the Plot Coupon actually lies, the Labyrinthian.
The Mines of Khuras. Naturally it's crawling with Hellhounds who will swarm you while shooting fireballs plus lava pits that you have to swim through and will cause considerable damage without Resist Fire, with a heaping side of Zombies who cause the Disease status effect and Humunculi who use shock spells. Worst of all, it's the first truly massive dungeon you come across. While with most previous dungeons you could reason out where you needed to go (i.e., the stairway to the second floor was often in the southern end of the dungeon), unless you're really lucky without a map you will spend lots of time fighting your way through sections that loop back or lead to dead ends without getting close to your actual goal.
The Vaults of Gemin. Like the Mines of Khuras, it's two massive floors that are filled with dead ends and no intuitive way to figure out on your own which way you need to go, especially on the first floor which is mostly a complex of interlocked identical rooms. However, while the Mines of Khuras were pretty generous when it comes to treasure, the Vaults of Gemin are much more skimpy, and anyway at the point you arrive at the dungeon treasure is likely much less of a priority. Plus both floors are full of Stone Golems and Humunculi, who just love to attack in pairs or groups, with one keeping you busy while the other one safely shoots you to death from the very dark areas of the dungeon with shock spells. And if all that isn't enough, you may end up destroying your computer once you find that on the second floor, which is a large underground lake covered with plenty of buildings empty except for enemies and tiny islands on which Stone Golems are perched and ready to shoot you down, your objective is just a little ways south of the entrance.