The module system of OCaml is very powerful, and a similar module system is not present in F#, or anything else besides some variants of StandardML as far as I know. I was able to accomplish many things using Functors that I have not been able to accomplish in any other languages.
Here's a link to one of my previous comments regarding some of OCaml's compelling or unique features: https://news.ycombinator.com/item?id=7861033
At the time of writing that, there were a couple of reasons why you still might consider Haskell instead of OCaml (assuming you were willing to accept complete purity and were willing to adapt to lazy evaluation). Those two primary reasons were type classes and a multi-core runtime (where immutability would really shine). I don't know much about Haskell, but this is what I've heard from other well informed people. I'm sure there's many other great reasons to use Haskell over OCaml, but these were the main ones from what I could tell.
But since then, it looks like there's been great progress on an OCaml multi-core runtime, and also something very similar to type classes (module implicits). We'll have to see how those develop but it's definitely exciting.
Also since then, Jeffrey Scofield has accomplished a lot to get OCaml working on modern iOS systems so you can build native iOS apps with OCaml: http://psellos.com/ocaml/compile-to-iphone.html
I've been building a small project in OCaml for a while now, and my experience hasn't left me wanting any core language feature that some other language has, aside from possibly a multi-core runtime (I haven't actually needed it yet, but I will soon). Most of the things I wish were different are very superficial syntactic gripes - but OCaml supports arbitrary syntax via ppx extensions so I can just stop complaining and build the syntax I want to program in. (Haskell-inspired syntax? Swift-inspired syntax?).
The only other feature I'd like to see is a unification of the object system and record system: You could describe that as "row polymorphism" built into records (complete with pattern matching). No other major contenders support this, so it doesn't effect my language decision, yet it would be a welcomed feature.