Dialog box actions: Although this breaks with Apple's purist mentality, I've always liked the fact that in Windows when I'm using an Open or Save dialog box I can rename or otherwise manipulate files and folders through that dialog box, without having to close the box and switch to Finder. Yes, I know that breaks the architectural line between applications and the OS, but it makes life easier. And, yes, I know you can usually create folders from apps' Save As dialog boxes on the Mac, but that's not enough.
Uninstall: The one big deficit in the Mac OS is its lack of a central way to uninstall applications and their support files. Although the Windows uninstall doesn't always clean up everything, the Mac provides no facility for finding and removing these stray files. They don’t seem to do harm, but why leave them around?
Where Mac OS X and Windows 7 even out
Security warnings -- or lack thereof: Windows 7 reduces the UAC security nagging of Vista, putting it on par with XP and Mac OS X. I really noticed the difference, so I rarely canceled an action I wanted because of incessant, confusing security warnings -- a frequent problem in Vista.
Taskbar vs. Dock: Windows 7's taskbar works more like the Mac OS X dock, making the "pinned" (docked) applications more visible than the XP/Vista taskbar's quick-launch icons. Plus, they animate when opening, copying a concept from the Mac OS Dock. (In what I assume was a beta bug, the taskbar's pinned icons appeared only after I dragged an application onto the taskbar to pin it there; using the Pin to Taskbar contextual menu didn't toggle on their display in the taskbar.) Beyond the strictly visual design, the biggest difference between the Windows 7 taskbar and the Mac OS X dock is that you can add status controls, such as checking on available networks, to the taskbar. In the Mac OS X, such controls reside in the taskbar at the edge of the application bar, not in the Dock. Either way, you get quick access to essentially the same things. And the stacks capability for displaying folder contents in the Mac OS X Dock is more customizable in terms of its display than Windows' equivalent.
File and folder navigation: The file-and-folder approach to navigating storage media is essentially the same in Mac OS and Windows, and both Mac OS X and Windows 7 (like Vista) let you put your favorite directories into the easy-access lists in the folder windows, as well as offer quick-look file previews. I've always liked Mac OS' ability to let you color folders, as a visual mnemonic; Windows can't do this, but a lot of Mac users don’t use it, either.