One issue with the current Thunderbolt Display is the lack of audio out. There's various ways I can workaround this without plugging in to the jack on the laptop itself (Bluetooth A2DP, USB audio interfaces, streaming audio to an Airport Express, etc), but I really think it should be part of the display. Extra points if in addition to an analog audio out, they give some sort of digital audio out like TOSLINK, mini-TOSLINK or even HDMI.
The other issue I have is general bugginess of the USB ports (at least when used with a rMBP). I can workaround the issues by attaching a hub to the ports, but this needs to be fixed. Not sure if it's the display or the rMBP, though.
Edit: Oh, and also I think the glossy finish is especially reflective. Much worse than the glossy HP display I used before this. I prefer matte, but it's just not going to happen with this display. That's ok, I close my blinds when the sun is shining through.