Warped discs on the front.
A few niggling problems setting the boost on the turbo.
Apart from that, not a lot.
First thing... If you get the chance to buy one, then go for it.
You get so much for so little money.
The cars performance is fantastic. The standard 227bhp (220bhp if a rare U. K Sunny) gives plenty of fun under that right foot, while the four wheel drive is there to keep you on track. If it still isn't quick enough for you at that, then you can up the bhp very easily with a few simple modifications. The big let down on the GTi-R is the brakes. The standard brakes suffer very bad from brake fade and an upgrade is best advised. If you're not bothered about any frills why not go for the lighter stripped out rally model, called the Dakar. (white in colour)
I agree, the GTiR is a fantastic little car.
I also own one, and had to have the front discs replaced not long ago. I think this is a symptom of most GTiRs. New and better brakes are a wise investment, to haul this pocket rocket to a stop.