A few things:
Even though I was a long time windows user, I really love my iMac. However there are a few things that bug me:
1. Startup Sound! "DUUUNNNGG!" I read that if you hold a certain key it won't make the sound, but it always makes it for me...can't you just turn it off permanently? Thank god my iPhone doesn't make that noise every time I turn it on.
2. Pushing the red X doesn't close the application...except for iPhoto! This is very inconsistent and annoying! Also those who don't realize this end up using up all their RAM b/c they don't close all their apps.
3. To share photos in iPhoto the other person has to have iPhoto open.
4. No Maximize button (Zoom button sux and is annoying; esp if you used windows before)
5. In ability to redefine shortcuts. For example, I'd love to use CTRL-C to copy like windows instead of Apple-C.

6. Safari. We (meaning web developers) need one browser and that should be Firefox...Apple should ditch Safari and throw its weight behind firefox.
7. Delete button doesn't actually delete stuff. (why should you have to push Apple-Delete?)
8. No Cut Option in Finder
9. No Rename Option in Finder (Pushing Enter to rename something is extremely wierd).
10. Icons for Stacks; Visually you can't tell the different between a stack and a minimized application.
Just as a bonus here are my favorite things that were fixed/add with Leopard:
1. Finder is MUCH improved (especially with networking; was useless before)
2. Time Machine
3. Quick Look