In the context of fanfiction Mary Sue's, I don't really have too much of a problem with them, honestly. People write fanfiction for fun. And if your version of fun is watching some hyper-idealized version of yourself win the day and get all the stunningly beautiful specimens of your choice of gender, then... well, that's your way of having fun, buddy. Nothing really wrong with that, just let the people have fun.
That's not to say that it isn't a real writing problem, of course. Mary Sues create inherently terrible stories, because the author warps the way the established world works in order to glorify the Sue. They might change character motivations, or change the established laws of the universe, or even basic physics and thermodynamics, all to justify the actions, love, hate, and glory the Sue is getting. And it's going to be bland, no matter how much you try to not make it. However, again, if it's just an author having fun, then you should probably leave them be.
Yes, it is bad writing, and yes, it's annoying to read, but there's always an X in the top of your screen that you can click on if you don't like what you're reading.
In the context of roleplay Mary Sue's, this is where I take issue, because it's not just your story that you're ruining. It's the story of the other authors that you're also ruining, and it can take the fun out of a really good roleplay. I can give examples if you want, but here's a really short, sweet, and to-the-point example of a Sue from a roleplay I was involved in.
Setting, zombie apocalypse. Our brave band of heroes was barely surviving, trying to murder their way through the hordes and stay live, while balancing getting enough sleep, scavenging for ammo and food, and watching their own in case one of them turned. Enter the Sue, who I'll just call DJ for simplicity, who's a being of infinite power, with infinite stamina, an overpowered God-rifle that has infinite ammunition... you get the point. DJ starts wrecking even the toughest of zombie hordes, and all the rest of the characters are basically bored with nothing to do but follow him because he's the only one keeping them alive.
Then, in an "amazing" twist that "nobody" saw coming, DJ dies. But a vial of his blood was saved, and is used to cure the entire zombie horde and resurrect the dead zombies into their former selves (ok, that last part didn't happen, but it probably would've if our mods didn't stop it).
DJ makes the story not fun, and so do most Mary Sues, so... yeah.
Don't really have a point to make here, just... don't write Mary Sues, people. Especially in roleplay. Please?