Well the IRS is a tough one cause you'd probably rather just not be taxed so the whole thing is just not pleasant for you.
The DMV could theoretically have private sector competition, but they won't because no Cosby is going to sink money into acquiring private property, building private roads and highways on said property, and then issue private licenses to drove on those roads. But roads and highways are definitely needed so even your bad experience at the government run dmv is preferable to the alternative.