play h3
1. d4 d5 2. nf3 Bg4!#*!@

I hear you on the Bg4 problem. And I would be interested to hear what some people have to say other than to use a different opening, because I open a lot of my games the same way, and find that bishop very annoying.

c4 and h3 are the replies I am pushed towards most often. unfortunately, the majority of people who play Bg4 against me continue on to Bxf3 so h3 is of no consequence to them.
I play the colle-zukertort so my general opening sequence is 1. d4.. 2. nf3.. 3. e3.. and I run into the Bg4 on a number of moves in the opening sequence from people trying to cut their Queen's bishop loose before it turns into a useless piece of wood. Example and one way I've dealt with it...

Great post. I have access to the ChessBase 4.5 million game online database. The move strong players favor after 1.d4 d5 2.Nf3 Bg4 is 3.Ne5. I do believe the position cries out for that move. Even super star Nigel Short has played Bg4 as Black.
Examples

I play 2.c4 after 1.d5 (Queen's Gambit), so I don't see an early Bg4. Here's another early 2...Bg4 game by two famous players with the move 4.c4. Something different. Notice that Ne5 follows Bg4. It must be THE move to play.
After viewing many games with an early Bg4, I get it. Play Ne5. The knight at e5 is telling the bishop at g4 to go away or be captured on White's terms - protecting the kingside pawn cover of f2, g2 and h2. You won't need to play the weakening move of h3.

I recently started to blog about 3...Bg4 in the Colle
see http://blog.chess.com/jlueke/colle-with-3bg4-opening-and-middlegame and http://blog.chess.com/jlueke/colle-3bg4-4h3-chasing-the-bishop
I need to add the h3 Bxf3 lines.
In all cases I think black can get an equal game but some lines are much harder to play correctly than others.

Musikmole, what a great contribution, thanks for those games! Ne5 is a good one that I've tried but will look more closely at these lines. I also run into Bg4 on move three (1. d4 d5 2. Nf3 Nf6 3. e3 Bg4) in which case Ne5 doesn't work (drops the Queen immediately to Bxd1).
Fundamentally, this is the problem with both the Colle systems where your move order includes e3 before Black has locked in its Queen's Bishop with e6. I may experiment more with move order, but I find delaying Nf3 results in c5 being played sooner than I prefer in the Colle.

Musikmole, what a great contribution, thanks for those games! Ne5 is a good one that I've tried but will look more closely at these lines. I also run into Bg4 on move three (1. d4 d5 2. Nf3 Nf6 3. e3 Bg4) in which case Ne5 doesn't work (drops the Queen immediately to Bxd1).
Fundamentally, this is the problem with both the Colle systems where your move order includes e3 before Black has locked in its Queen's Bishop with e6. I may experiment more with move order, but I find delaying Nf3 results in c5 being played sooner than I prefer in the Colle.
For those reading this post that are not familiar with The Colle System, White has the goal of placing his pieces and pawns on the following squares with the thematic push of e3-e4: 1.d4 2.e3 3.Nf3 4.Bd3 5.0-0 6.Re1 7.c3 8.Nbd2 9.e4.
One alternative Colle system would be 1.d4 2.Nf3 3.e3 4.Bd3 5.b3 6.Bb2 7.Nbd2 8.0-0.
I can see where Bg4 is annoying. I found 19,635 games after 1.d4 d5 2.Nf3 Nf6 3.e3. The number goes way down to 3,019 games after 1.d4 d5 2.Nf3 Nf6 3.e3 Bg4!?
I'm really beginning to miss 1.d4. I switched temporarily to 1.e4 to strengthen a weak part in my game - tactics.
Below are a few examples where Black fights for the center with c5 after 1.d4 d5 2.Nf3 Nf6 3.e3. Enjoy.

i strongly recommend david rudess zuke em zukertort book. despite the books by stronger players like davies are probably better rudess covers about every possible annoying sideline you face in the zukertort with very good solutions which the strong players seems to forget to mention despite that personally i face lines like 1.d4 d5 2.Nf3 Bg4 just as often as the zukertort itself. i cant remember what he recommends against Bg4 but i remember it started with h3 and that is was jeremy silmans favourite at the time

For 3...Bg4 it was chasing the bishop with 4.h3 then either Bxf3 or Bh5 g5.
The only issue is that black decides the character of the struggle. With the bishop retreat the position gets close to a QGA with Bg5 which is maybe more open than a Colle player would like
For 2...Bg4 it was just Ne5 as mentioned

Delaying Nf3 in the Colle is risky. Black is positionally winning when the e5 push is properly prepared and accomplished -- that's the Colle's (and Stonewall Attack's) downside. If Bg4 bothers you, look into lines with f3.

When I am white playing 1. d4, I hate seeing 1. ...d5 2. nf3 Bg4! So, how would you punish the early Bg4, if it can be punished?
(I also hate 1. d4 Nf6 2. Nf3 d5 3. e3 Nc6 4. Nbd2 Bg4. Sure there's 5. Bb5 g6 6.h3 Bxf3 7.Nxf3 g6 8.Ne5, but is there something better...)