I appreciate this quite a bit. Vocal Unix proponents tend to believe that anything Unix does is automatically better than Windows, sometimes without even knowing what the Windows analogue is. Programming in both is necessary to have an informed opinion on this subject.
The one thing I miss most on Unix: the unified model of HANDLEs that enables you to WaitOnMultipleObjects() with almost any system primitive you could want, such as an event with a socket (blocking I/O + a shutdown notification) in one call. On Unix, a flavor of select() tends to be the base primitive for waiting on things to happen, which means you end up writing adapter code for file descriptors to other resources, or need something like eventfd.
Things I don't miss from Windows at all: wchar_t everywhere. :)