The one I miss most is resource constraints on queries. It's nice to be able to guarantee that some queries will get more resources than others.
On the other hand, Oracle's SQL dialect is (or was, I stopped using it about 5 years ago) full of frustrating backwardness. No boolean type, so you get a mix of CHAR(1)s or INTs, depending on the prevailing DBA's opinion. And there's no serial or autoincrementing type, so for every table you wind up copying and pasting the same code over and over (create index, create sequence, insert trigger, update trigger).
The most head-scratching part is that you can find apologists for these flaws.