The only real annoyance I have with it is that the editor window is modal, like it blocks all the spreadsheets you have open on your machine, and it's primitive even compared to VBA, especially for debugging.
It's not just that it's given me the experience of "this is the way a spreadsheet or BI tool should work" but also "this is the way SQL should work". It's a little cumbersome to do the standard SQL-type operations, but the clean integration of functions means you can implement anything that's missing. Like say, Oracle has grouping sets - you can, and I did, just write a function to do that. I always felt that having a separate procedural language in your database was wrong, but I'd never seen the alternative until now. And I've been falling in love with higher order functions.