Web Apps that run on a secure HTTPS connection, but load content from an HTTP connection. On one hand this is totally fine, but for IE users in particular (not me typically) the security warning is awkward and confusing for users...

Not only is it highly aggravating to dismiss on every page, but the wording is awkward, and the button actions are different for IE(6&7) vs. IE8+

Old IE dialog:

New IE dialog:

So, if as a user you "just want to load the full page" (e.g. you are looking for the "go away" button)... it is the default Yes in IE6 & IE7, but the non default No in IE8+.

Note: I'm fully aware as a developer what the purpose of the dialog is and even why Microsoft changed it but for end users it just confuses them especially in IE8. End users see a dialog come up asking for "permission", "confirmation", etc. and expect to click the "ok" or "yes" option because they don't read the dialog. One can argue that the users should read it, but it is just easier if developers ensure they don't have mixed content if it can at all be avoided.