As a recent switcher, I feel the keyboard shortcuts, but I have two others that can definitely irk me sometimes, though I'd never go back:
1. Customization: This one is definitely a mixed bag, but sometimes you can tweak Windows in a way you can't (or can't easily) on a Mac. Vice versa is also true as well, but sometimes I think that Apple sacrifices customizability for user interface, which is great, but that 1% of the time you need that ridiculous feature, it can be frustrating.
2. Incorporate rather than replace: Although there are probably some good arguments for the Mac way here, I prefer that when I drag and drop a folder somewhere, and a folder with the same name exists there, that things are added/incorporated, and only replaced when there are file conflicts. Instead, you get utter folder replacement, which can be extremely destructive. Not a big pet peeve, but I do like the Windows folder copy/move better.
3. My biggest pet peeve (drumroll): right-click dragging. I think it's because I'm a power right-clicker, but I love right-click dragging, allowing me to choose whether a file/folder should get copied, moved, etc. The Mac OS guesses right most of the time, but I like that control.