I've been using Linux as my desktop for more than six years now. It's only now that I've had a chance to use Windows on a daily basis.
I have only two gripes (so far) about the Linux desktop:
1. Why does Microsoft ClearType look so much nicer than Pango anti-aliasing on LCD screens? the difference is so obvious it's not funny. Although, I must point out, Windows XP does not do the pretty ClearType stuff by default; you have to download PowerToys for Windows XP to do this (one of the things I learned from the Oracle Binary Image for Windows XP, which has PowerToys configured to do this by default).
2. Why does Linux not obey when you open or close the lid of your notebook? Windows XP is so sprightly at going to sleep and waking up that it's not funny either! and this is a major usability issue, not just an aesthetic one like #1.
I've been going from Windows to Linux several times a day, because all of my server apps and development tools run on Linux; Oracle JDeveloper being available on both Windows and Linux notwithstanding, I still prefer good old javac. And each time, these little shortcomings of our favorite OS poke me in my eye.