Not a full on Peeve, exactly, but a little annoyance
You know how some short story anthologies (Sword and Sorceress, etc) sometimes have authors that regularly write the continuing adventures of the same characters for them? For most part I do enjoy that, because the characters are like familiar friends you're catching up on.
But it can become rather annoying if the stories can't stand stand alone without continual reference to what happened in previous books. Because sometimes you come back to an anthology after a long break, or you can't find all the books in order, or you've just decided to pick up the latest book in an anthology series you haven't read before.
I think short stories should be self-contained little bite-sized chunks of narrative that you can finish quickly over a coffee break or a ten minute bus ride. They can be about characters you already know, but each story should be complete on its own. If you have to have read the previous stories for this one to make sense, or if the author has to basically recap the previous stories at the start of each new one, then perhaps the author should consider just stitching them together and making a novel out of them.
Done right, I love these sorts of stories. I'm just a little annoyed right now because I bought a new book from a series I haven't read before and three out of three stories so far have either assumed that you've read the earlier parts of the story or had detailed recaps and/or exposition on what had happened previously.