0) Good trackpad gestures.
1) Explorer can't sort alphabetically by name. WTH? No matter what I do, the closest I can get is "sort by folder/file status, THEN sort alphabetically by name." This really sucks for the common use cases of navigating the file tree by keyboard or unzipping into a crowded directory.
2) The retarded file open dialogs. I don't mean to say that all file open dialogs in Windows suck (although none of them allow drag-to-jump-to-file which is a minor PITA), I am referring specifically to a subset of file open dialogs which seem to be developmentally impaired by a few decades. They display the entire file hierarchy in a tree view that you have to scroll downwards vs the usual click-to-change-directory + breadcrumbs view. Ctrl+L to jump to a path doesn't work, they don't remember your location between invocations, they don't display common locations (desktop, docs, etc), jump-to-first-letter is broken, and they don't allow easy use of the down arrow to scroll because the next item is invariably hidden beneath the fold. These things are straight from the pits of UX hell, yet for some unknown reason they seem to constitute about ~20% of file selection dialogs on Windows. Ugh.
3) There are no consistent "jump to file" semantics (you know the "Open Enclosing Folder" contextual menu? Like that, but more universal). On OSX, this is the command key. Command click a document's icon in the header to jump to open an enclosing folder. Command click a search result or dock icon to jump to its location in the filesystem. Very handy. Very frustrating to find missing.
4) Hot corners to turn off the screen. Some screen/laptop manufacturers have a physical button, but some don't. Finder provides a built-in workaround. Explorer doesn't. In order to solve this issue I have to navigate the fake-download-button gauntlet and crapware-installer gauntlet twice before writing a line of code to emulate this feature with a keystroke. Yuck!
EDIT: added 0