Loads of things. Here's a few.
Mouse acceleration. In 7 it is markedly different to XP and it is similar to OSX which I hate. In 7 the distance the pointer moves depends how quickly you move the mouse. In Windows XP, it moves depending how FAR you move the mouse. In XP, I can move the pointer from one side of the screen to the other by moving the mouse halfway across my mouse pad. If I do it very slowly, or very quickly, it takes the same distance. In 7 it is completely different and there is no way of making it behave like XP.
The network activity system tray icon has been broken since Vista. I like it, I use it, in every version of Windows up to and including XP, it worked. If you are sending data, one of the little 'screens' in the icon lights up. If you are receiving the other 'screen' lights up. Etc. Broken in Vista and W7. Not important to you and others, fine, but I want it.
The image viewer is broken in Vista and W7. Broken how? When it resizes images or you zoom in, it doesn't resize using a Lanczos style algorithm like Windows XP does, so the image appears more pixellated than using the excellent Windows XP image viewer.
Creative sound cards sound worse in Vista/W7. They also have less functionality, ie. no EAX effects etc. I have a Creative sound card (a very good one) and this is a serious issue.
No 'up' button in explorer. This is a basic piece of functionality which has been inexplicably removed. No, the breadcrumb thing is not better or as intuitive.
As mentioned previously, Windows Vista/W7 insist on regularly playing with the hard drive for no good reason which gets on my nerves. I don't want it to index anything, update anything, 'fix' anything, DO ANYTHING, until I tell it to.
The start menu. I don't want it to scroll, I want it all to appear at once and then I can quickly select what I want. This is intuitive. I don't need to search. I know where stuff is. Modern monitors are large yet Vista/7 insist on squeezing everything into a little start menu in the bottom left corner, and you have to scroll up/down! No, I prefer XP's way of showing everything in one go thanks.