I am glad you are still willing to give TeX a shot! The learning curve can be steep, but hopefully this site can help. There are already answers for most of the points you raised:
Installing and using fonts is a pain.
This can be difficult- but package management tools like TeX Live's tlmgr amd MikTeX's mpm can take most of the pain away. The LaTeX Font Catalouge is a great place to see which fonts are available and how to use them.
TeX and LaTeX are moving towards tighter integration with system fonts through the efforts put into the XeTeX and LuaTeX engines. See the fontspec package for details on how to use those engines to access system fonts.
Simple things like custom page headers are insufferably hard to implement.
There are packages and class files that simplify this considerably. The fancyhdr package is a good choice and the memoir document class has comparable support baked-in.
Also see, How to set the font for a section for similar discussion concerning section and chapter headings.
LaTeX shows 10 errors for every 1 SLOC, so the code is impossible to debug.
Most of the output of TeX and LaTeX consists of notes about where the typesetting engine was forced to make sub-optimal decisions in order to produce a document that is better overall. All the noise about "badness" is related to this- badness is a metric that TeX tries to optimize to a minimum when typesetting. See Formatting the console output of Latex for information about how to reduce the verbosity of the log output.
It's a pain having to scroll/find a previewed page every time I update it.
A good editor should help with this.
Code that compiles in LyX doesn't compile in TeXnicCenter/MiKTeX.
This is most likely because LyX code is not LaTeX code- it won't compile outside of the LyX environment unless exported. This also means that LaTeX code won't compile in LyX unless imported or transcribed.
Code that compiles in TeXnicCenter/MiKTeX doesn't compile in TeXShop/MacTeX.
Probably due to missing packages- tlmgr and mpm should help with this. mpm is more helpful with on-the-fly installation of missing components.
TeXShop/MacTeX requires 1GB of hard drive space.
This is for the full everything-including-the-kitchen-sink install. You can select subsections when installing via the install-tl instructions are here. See also Why is the MacTeX distribution so large? Is there anything smaller for OS X?.
TeXnicCenter updates references such as table of contents and BibTeX every three compiles.
This is by design in LaTeX. To get a complete Bibliography with references you must run:
pdflatex document bibtex document pdflatex document pdflatex document
This is because TeX writes out metadata about cross-references that gets used to enhance the output on subsequent runs:
On the first pdflatex run, information gets written concerning which citations are needed.
bibtex uses that information to pull the required citations from a database.
pdflatex then uses the bibtex output to produce a bibliography.
With a bibliography present, pdflatex can finally insert citations in the text.
See Tools for automating document compilation for ways to make this less of a chore.
LyX's WYSIWYG isn't really a WYSIWYG.
It is not supposed to be.
TeX-based systems do have a pile of quirks and "WTF moments" but compared to systems like MS Word you usually only have to jump these hurdles once. If I want to reuse a nicely formatted header/footer that I had in a document- I only have to open the source to find the exact steps that were executed to create them. And if there were "WTF issues" or "magic", I usually have a good comment explaining why part of the process looks like voodoo. Comparatively, I still waste a lot of time in MS Word with similar tasks because there is no good way to record in black and white the exact sequences of menu selections and clicks that led to a given output.
TeX requires a larger up-front investment of time to get comfortable with, but pays large dividends and your investment in learning the system will not be suddenly and drastically depreciated as was the case with the complete overhaul that occurred in MS Office 2007.