1. On setup it refused to auto-recognize my blog at its actual address. And the typically over-controlling Microsoft software wouldn't give me a manual config mode screen to set the blog up directly, simply blowing up with an error instead. I had to trick it into giving me a manual config screen by giving it the incorrect URL for my blog. Go figure.
2. The "Web" layout in the app is nonsensical. Because I have a three column CSS layout Microsoft Live Writer faithfully mimics that on screen. Except there is a problem: On the blog those two other (outer) columns have content. On the editor screen they're empty, like giant white margins that should be able to get rid of, but can't. Go back to normal view, however, and it screws up the HTML formatting, like block quotes. Great.
3. It doesn't auto-load your most recently posted stories. Instead, it forces you to go find some stories and load them in yourself. That's dumb.
Do yourself a favor. Don't bother installing Windows Live Writer. Go get Firefox, and load the excellent Performancing extension. It does everything (useful) Live Writer does (and more), it's free and open source, and it's browser-integrated. Who needs another standalone binary app anyway?