I have always been frustrated that the “Upgrade Automatically” option doesn’t work as advertised. I have to muck around with a few files, go to my FTP client, etc. This is the second time I have upgraded, so it was much easier. (I was surprised I remembered what to do. The tutorial helped the first time — and I had it open for reference the second.)
Also — plugins — the automatic upgrade works for some and not others. (For example, I was surprised when WP’s own Stats plugin would not upgrade automatically.)
Now I can’t complain too loudly — WordPress is free software, and I like it oh so much more than blogger.
Funny enough, when I asked Matt Mullenweg (Mr. WordPress himself) at WordCamp Denver in February 2009 about this, he kind of looked at me like I was partly insane. Apparently I am the only person in the universe who has ever experienced these problems.
Neophyte note: If you let WordPress host your blog (like yourblog.wordpress.com), then WordPress automatically updates the software for you. My comments here only apply to self-hosted sites.