My least favourite would unfortunately have to be the "Industrial Revolution" setting: Non-Watch Ankh-Morpork books like The Truth, Going Postal, and Making Money. I am all for a Fantasy world that actually develops technologically and socially, and although I feel that the city is losing some of its charm, I appreciate this as something that must necessarily be - a passing from one age to another.
But my problem with these books, perhaps unrelated to the facts of their setting, is that they're bringing about a new and unsatisfactory writing style. In Going Postal and especially Making Money, I feel Pratchett is leaving genuine character intrigue behind, and is reducing the stories to mere "clever versus clever" - impossibly ingenious characters pulling an endless series of clever tricks and counter-tricks against each other, and then that's that. Characters don't as much talk as endlessly spout immortal and insightful statements. New characters seem to be created not to play a role, or to relate to the protagonist, but merely to allow Pratchett to pull off some witty and intricate gimmick.
And in the end, I just don't care. Pratchett doesn't seem inclined to change the basic formula where books always end in "no harm done", with no major characters dead, nor with any substantial changes made, and with main conflicts solved in a way that requires the reader's sense of humour to be closely correlative to the writer's (just consider the Where's My Cow scene near the end of Thud! and Mr. Bent's coming to terms with his identity in Making Money). This makes it increasingly hard to feel involved with the story, which I haven't been since Night Watch and A Hat Full of Sky.
Also, seeing as we can expect more Moist titles in the future (Raising Taxes), I can't help but get the feeling that Pratchett writes these books more because he needs to implement these concepts in Ankh-Morpork, rather than because he has a genuine story which he wishes to tell us. With a writer of Pratchett's caliber, I think this is unfortunate.