Mouse tracking: the acceleration is different than what I expect; slow moves don't seem to get me anywhere, quick ones make me overshoot. I've played with settings and downloaded third-party fixes, nothing seems to make it work the way it does in Ubuntu or Windows.

Installing applications: they usually come on a disk image, which you mount, open, and then find the program. Natural inclination is to double click the program and run it. That's great until you unmount the disk image. What you really have to do is drag it to the applications folder. This is never explained, nor do average users know what a disk image is. Windows install wizards are pretty nice; Debian/Ubuntu's package manager is also super nice.

Background color: try setting your OSX background to black. When I tried it, I found that I couldn't. I had to get a purely black image, and then stretch it. Not a problem with Ubuntu or with Windows.

Terminal: by default, the terminal program is not part of the dock, it's buried in the Applications folder. Given that "it's BSD! you have a terminal!" was part of the hype around OSX, I was terribly confused the first time I went on an OSX machine to actually run it. Not a problem with Ubuntu. Moot in Windows, you download Cygwin if you have to.

Mouse tracking - no focus on mouse, and the default track pad speed/sensitivity options are way too low.

Installing application - no app store, basically. Being able to get 99.9% of everything you need for free with a single click is very nice.