Besides the well known box size complaints, another component that is sometimes lacking is cards.
The card quality of some very good games is so bad that sleeving is the only way to go. I am looking at you Imperium: Classics/Legends/Horizons. How can someone make such a HUGE card game and then skimp on card quality like that?
Another (much less important) one is cardbacks. This is mostly due to having seen the incredibly beautiful cardbacks of Pandemic: Iberia. Other games should take note!