OS X: can't deal with the Finder. I frequently don't know how to navigate to an upper directory, for example. I have troubles with the task bar, too (sometimes somehow I can't drag stuff into applications). I miss the show desktop button. I don't like that Apps stay open when I press "X" and I have to close them all with CMD+Q instead. Cut+Paste does not exist. It's all little things, but they add up.
Windows 7: now the same problems with the finder. Impossible to find anything without utilising desktop search. No show desktop button anymore. Failed to copy the task bar appropriately: now to start a second command shell, from the task bar, I have to right click the icon. Noobs simply can't remember to use the right mouse button.
Windows XP: flawed security model (everybody ends up running it as Administrator).
Must admit that it has been a while since I worked with XP, but I remember that they had some touches that were actually useful. Apple does not go for useful touches, just pretty ones.