Setting the focus of a text box on page load.  Stop doing it.  

Sites like Yahoo! and Bodog do this, and it absolutely drives me crazy.  When the page finishes loading, it takes my cursor and places it into the beginning of the username textbox.  This is unacceptable, as by the time the page finishes loading, I am usually typing in my password.  There is nothing worse than typing in my username, than having half of my password go into the password input box and the second half of my password to go into the beginning of the username textbox.