Tab completion: If there are multiple possible completions, you have to type the next character and press tab. With Windows you can just press tab repeatedly until you get to the completion you want. Both systems are reasonable but it's annoying to use one when you're used to another. To be fair the Linux system has better worst-case behavior (O(n) keystrokes instead of O(exp(n))) and I think it's generally better for navigating hierarchies that you know well, but the Windows system is better for navigating unfamiliar hierarchies.
Shell glob expansion: while it makes some sense for the shell to expand wildcards and does ensure consistent wildcard expansion for different programs, I think this design causes more problems than it solves. Wildcards mean different things depending on what you're doing, so I think on balance it makes more sense for individual programs to do their own wildcard expansion as in Windows. For example in Windows I can type "findstr /sip foo *.txt" to find the string foo in all files ending in .txt in all subdirectories. With Linux this is significantly more complicated. This also leads to:
Too much escaping: with so much intelligence in the shell, many characters have shell meanings and aren't just passed along to programs on their command lines unless they are escaped. This leads to tons of escaping. Escape sequences aren't hard to write (at least if you know what the escape character is) but they are very hard to read - they look like line noise.
I made my bash prompt a different colour from the rest of the terminal and now it gets confused if press up when the path is so long it takes more than one line of the terminal window. It's just a bug (in readline I think) but this software is so mature there's no excuse for it.
It's annoying that closing a terminal window closes any programs that I've opened using it, even background ones. I don't want any processes to go away without me explicitly killing them.
Double-clicking on the top-left corner of a window should close it like it does on Windows, but it doesn't.
Adding programs to the start menu seems to be much more difficult than it is on Windows.