Generally speaking, they lack the complexity of the ales that I prefer.
I blame this on US craft brewers for not producing many lagers and experimenting more. A lager can just as easily have as much complexity as an ale. I think lagers get a bad rap in the US because craft brewers are trying to distance themselves from BMC lagers. Most people hear lager and think "BMC." Not to mention lagers are more energy intensive than ales to produce, so many small craft brewers don't have the capabilities to produce them and still turn a decent profit.
My favorite beer is Anchor Steam. Admittedly it is not your standard lager, but it is a lager nonetheless, and it is incredibly complex.