The big thing I remember from Windows back then were contextual menus (Windows 95 vs MacOS 8), the Start menu and Explorer (Not sure why the Mac never developed one - apps were easier to find, I guess) with a folder tree on the left, which Finder lacked (but you could always have two windows with different views). In general, the user experience with Macs was smoother than with Windows, with the move to PowerPC being a huge improvement in performance over the 68040 models.

As pointed out elsewhere, NeXT broke a lot of new ground at that time, thanks in part to its Unix underpinnings. Also Adobe brought great font management to both PCs and Mac before both embraced TrueType. Next had sub pixel anti-aliasing from the start.