1. No cleartype. I.e. although there is subpixel antialiasing, fonts aren't optimized for the pixel grid. Thus, the fonts are much clearer when I boot to Windows and so I feel like everything is fuzzy when I boot back to Mac OS. This isn't a problem for the web, but for coding and SSH it's terrible. I can't use Windows full time though because Spaces is so outstanding and I don't get trackpad options under Windows.
2. Excel on Mac lacks my most used feature: web data import. Windows Excel lets me choose a table inside a web browser, and the data in that table (stock quotes/currency rates/etc) are imported into Excel (and re-retrieved just by pushing F9).
Excel on Mac does allow you to manually create text files that describe web data import which would be a possible workaround except that the sites I use require a login, and Windows Excel can save cookie state because of its tight integration with IE, but Mac Excel can't.