Not only pen drives but also keyboards and mices. At home I often switch my keyboard from one laptop to the other and while it's always enabled near-instantly on linux it always takes a few seconds on windows (and especially the first time). It always annoyed me.

This is actually one of the few areas where linux is significantly superior to windows from an average "destktop" user's perspective. For instance getting PS3 controller to work on windows is (used to be?) very painful. On linux I plug it and it just works. Same for network-over-usb "RNDIS" devices but that might be more of a niche.