I have a couple of items that seem to be persistently elusive and annoying, possibly because I have never been able to define exactly what I want to fill the gap. Recent annoyances include:
-- a handbag that is big enough to be luggage for an overnight trip, but is also small enough not to irritating to carry around sightseeing on such a trip. Oh, and in a color and style that works year-round in both ultra-casual and business-casual contexts. I just came back from just such a trip, and while in the end I found a bag that worked it wasn't ideal. Suddenly I have a huge pile of handbags and none of them are perfect!
-- a go-to black jacket/light coat that is warm enough to wear in winter with the appropriate layers underneath yet light enough for spring rain showers, is flattering, goes with both dresses and jeans, and has a useful number and arrangement of pockets. I suppose a short trench coat would probably work here but I haven't found the right one yet, and I would like it to be more like the classic leather motorcycle jacket I wore all the time in high school.
-- and, of course, the mythical perfect walking shoes that look ok with a dress or jeans, that I can walk in for hours and hours of sightseeing, don't slip in the rain or snow, and don't sweat too much in hot weather. I have no clue what these shoes would look like in real life!
What are your most elusive annoyances?