The operating system ships with absolutely nothing that I consider useful for modern development, and it doesn't ship with several things I consider crucial. SSH. A decent terminal. A decent text editor. Perl. Python. Name-your-core-Unix-tool. A decent web browser. Windows is actually quite pathetic out of the box.

Now, yes, Windows can be brought up to par (and I've done it). I am not saying it is impossible to use Windows to be productive. But, I am past the point where I see this as worth the trouble; why the hell should I spend hours downloading and installing all the things Microsoft doesn't provide (oh, and re-install them, every 6 months, when invariably the OS falls apart and one has to start over)?

This is of course completely subjective, but, from the top of my head:

Painful user interface. No good package management system. Instability and unreasonable hardware requirements for even simple tasks. Missing good command line tools and light-weight methods of remote administration, development and testing.

Licensing. Every time I install a version of windows, it's a hassle I wouldn't otherwise have to deal with. (Also not a problem I expect you to be able to do anything about, but you asked...)

Installing programs - Ninite.com is a startup dealing w/ that.