That would bug the hell out of me. Not really sure why, either.
It bugs me (I grew up in Nevada and moved to Oregon to go to college), and I know exactly why. It's because I have to wait for the freaking attendants, which might take a while if the place is busy, as most places only have one or two on duty.
You might wait for 5 minutes before one of them gets around to asking you whether or not you want a fill up, and you might wait another 5 or 10 more until they notice that the gas has stopped pumping and come and take the nozzle out and give you your receipt.
It doesn't bug me as much as it used to, though, now that I've been here for 4 1/2 years or so.
Edit: Also, there's the assumption that you are too stupid to safely pump your own gas. The legislation that made it illegal to pump your own gas was passed on the grounds that it was a safety issue and letting the proles pump their own gas could cause a safety hazard, though the real reason was to inflate employment. That bugs me almost as much as waiting.