For me, it's the inherent message of proselytizing to someone who you don't know: "I have no idea what you believe, how you arrived at it, or how well it's justified, but I'm so convinced that my beliefs are superior to yours that I think you should abandon yours and take up mine."
There's also the multi-level marketing/ponzi scheme aspect to it: the approach of recruiting people to recruit to other people, etc., etc., is ethically problematic.
And then there are often problems with the beliefs being peddled themselves. I see some issues with LDS beliefs in that regard, but among proselytizing religions, the JWs are especially bad: it's one thing for someone to refuse blood transfusions for themselves, but going door-to-door trying to convince as many people as possible to refuse them for their kids? I have real trouble not considering that downright evil.