* You can write blank CDs/DVDs with finder or Disk Utility easily, but the finder behaviour can be hard to work out
* PDF files show for me in the browser, unless I explicitly tell them not to (right click, open in preview) - you didn't install Acrobat Reader did you?
* Read only NTFS is reasonable. Can you read an HFS+, UFS, ZFS or EXT2 volume on your windows box?
* Having an app open, and having a document window open are two different things. This takes a while to wrap your head around, but it's much nicer to keep (say) textmate running, cmd-tab to it then cmd-n for a new window than having to do the whole start menu dance to get a new editor window open.
Other than that, I'd say you'll find it's just personal preferences and experiences that you may see the benefits of in time, particularly with regard to things like window management and app install which I honestly find vastly superior on Mac. Let's just not mention the uninstall. In a month, I imagine the differences would still grate, but personally I now find it much more difficult going back to Windows line editing (home/end instead of cmd-> cmd-<) and other Windows behaviours having been on Mac for so long.
For me, it's all a bit pavlovian I guess. Having to alter my habits to use something I don't want to use and that doesn't reward me is a bit of an affront!