The "lost ball" rule which requires you to take stroke and distance is one that gets me. I don't feel that strongly that it should be changed, but it is frustrating and at times seems like too harsh of a penalty. It seems that a more fitting ruling would be to take a drop nearest the point where the ball is assumed to be lost, similar to dropping where a ball entered a lateral hazard. The issue with changing it would be enforcing where to drop, as some guys would try to cheat the system and drop 50 yards ahead of where their ball is presumably lost. This happens with lateral hazards as well though.
The pros rarely have to deal with this, as there is always so many eyes on their shots that a ball buried in the rough is found by spectators within seconds. For amateurs though, I've missed the fairway by just a few yards before and then when I couldn't find my ball I was forced to walk back to the tee box and hit my 3rd shot, despite my first shot being hit pretty well. I missed qualifying for the state championship one year by a stroke, and on the 16th I had this exact scenario happen. Hit a good drive that only missed the fairway by a few yards, but the rough was thick and my ball was not found within the 5 minute time limit. Had to re-tee and ended up with a double bogey on the hole.
The penalty would have to be distance only so it can be administered fairly, I think during the 60's they had this as the rule for a short time.