Personally, I'm having trouble living without grep (work is easier on a windows machine).
http://stackoverflow.com/questions/87350/what-are-good-grep-...
But inevitably -- and I've been using Windows offerings since the mid 1990s and Mac for the past 6-7 years -- these are nowhere near as complete as what you'll find in native Linux, they're missing key bits, polish and bugs are less than optimal, host integration isn't what it is in Linux, host features lack key Linux bits (especially /proc and /sys, and all that they enable), and if you want full coverage, you'll almost always end up with several different toolsets none of which offer quite what I'm looking for.
And you're missing soup-to-nuts, all-encompassing, sane, bug-reporting-integrated package management. On other systems, I manage bits of my Linux-like environment through better or worse (Cygwin -- don't get me started -- but look at apt-cygwin) package management. But most of my OS is outside of that. Inside Debian, I might manage a very small handful of non-packaged software items, mostly browser plugins. Oh, and lately Ruby gems, which are their own brand of hell, but whatever.
I first switched to Linux when I realized that I was spending more and more of my time trying to make Windows NT look like what I got out of the box with a $30 Linux distro CD (bundled with a book). Other than a few distro hops (last to Debian, in the late 1990s, though I continue to evaluate / work with others), I've never looked back.
I even have it on a Win-VM running in OS X.
It's not a perfect solution, but it works well enough that I can live with it (which is rare).
http://google.com/search?hl=en&q=uwin
It was created by David Korn, author of the Korn shell (ksh).
You can find the UWin site link some hits down the Google results page. (First link is for its Wikipedia entry, then there are some unrelated hits for the same string "UWin", then the actual site).