Dialogue is - for me, at least - one of the most fun and yet most difficult things to write. It's very easy to slip into a repetitive, boring, he-said-she-said exchange, and just as easy to sound like you're lecturing your reader on one subject or another. Soap boxes have their place, but that place doesn't tend to be where "it just happens" while I'm writing.
I find my characters have this disturbing tendency to go off on a tangent when I'm desperately trying to push my plot, and developing new plot lines when I'm going for a certain atmosphere or attempting to reveal more about said character. Do your characters do that? Hijack dialogue, I mean?
That said, character interviews are one of my favourite get-to-know-your-MC exercises. So it's not like they don't talk - they just don't say what they're supposed to, and they usually like talking to me better than talking to each other.
Another thing about dialogue - you can't be realistic, can you? What reader wants to slough through page upon page of "uhms" and "ehms" and "really?"s? Real conversations don't usually translate well to paper, they need judicious editing.
How about you? Do you like writing dialogue? Do your characters say what they're supposed to say? Any pet peeves when you read dialogue?