Here is a list of (mostly Finder)annoyances. Since you asked.

Preview should be better than the Windows equivalent at browsing photo folders and viewing as slideshow. I use Graphic Converter and PicturePopPro2, but this functionality should be easy and "Mac-like", not a hassle... Column view is not competitive and iPhoto is bloatware for just photo viewing. Picassa is way better for tagging and routine image management.

File view needs to remember preferences, I don't want to collapse column view every single goddamn time.

Why does the Terminal app flake out on my SSH connection and why is it so lousy at telnetting to my shell when 10.2.8 was reasonably good at it and, again, Windows is more reliable here, ugh!

Macros for keystroke shortcuts, if they exist, are buried. I use Keyboard Maestro, but this should be built in and easily apparent.

Why can't I lock items into the Dock after all this time? Accidentally removing a Dock item is retarded. (This could be a control-click option on the item.)

Also, a ghost image of a live window in the Dock to allow easier file management FROM the Dock would be an improvement. This is one area where the Windows start bar is superior. OS X can implement this in a more usable way, as I hint, by making it visually clear that it is a "ghost icon". Since the "desktop metaphor" is morphing, why pretend that the consistency of "moving a file" is not already violated in OS X and provide this improvement?

Hiding and showing the Dock with option-cmd-D is still flakey. I want more reliable control and more responsiveness. I know I am using an old machine, but I don't think that is the issue here. When I have 2 open windows and work to do, I don't need to futz with the Dock!

Why isn't there a key combo shortcut for Secure Empty Trash?

I use Windowshade, this hack revives a very useful OS 9 feature which should be re-implemented. I don't always want to completely minimize a doc/window I am working on.