I've been living with the Windows Phone for a while now and I've watched a lot of the discussion about the phone's shortcomings yet it's the little things that no-one talks about that really prevent me from really enjoying the device.
When you Live outside Australia
Microsoft have always professed that Copy-Paste is coming, but that you don't really need it anyway, as browser recognises phone numbers and addresses and makes them clickable so that you don't have to copy these into the phone or maps app…
…unless you live outside the USA
…which a lot of us do.
And that's the point really. Unless you live in the US you don't get the premium Windows Phone experience. Andrew Birch took the time to make up a table which shows the tattered mess of services and feature around the world http://andrewtechhelp.com/andrews-tech-opinions/115-windows-phone-7-feature-availability-matrix
For example in Australia we can buy Apps (subject to regional pricing, lets not go there). There's no music, especially the awesome Zune-pass. You can't rent TV shows, but you can purchase and rent movies. The pattern is different for each country.
The story continues across the phone. Only the US has Bing Voice Search and Bing Traffic, only the US and UK have Bing Local Search (though both Local search and Voice search work if you perform locale gymnastics http://www.istartedsomething.com/20101021/workaround-local-listings-voice-search-wp7-australia/) The USA is also the only country to have clickable phone numbers and addresses.
In the online world, people who don't live in America are used to getting left out (Amazon music, Netflix or Hulu for example) so it's already a sore spot. But turning off local search when the listings are obviously there just rubs salt in the wound. And as a side note, because of the 'clever' stuff Bing does with tie-in's to all sorts of services, it doesn't work nearly as well when you aren't in the USA, and you can't change the default search engine.
Hubs
Hubs just don't live up to the promise. They're designed to stop the in-and-out of other phones, aggregating all your 'stuff' into task centric areas. So there's a photo hub which has all my photos. And it has my photos loaded from Zune, and those taken on the phone, and can integrate Flickr and I think one of the windows cloud services. But there is no Picasa integration, and that's where I keep my online albums, along with a few quadrillion other people. I remembered the rhetoric in the publicity about hubs being dynamic and modular and wonderful, so being a good windows programmer I thought "I'll write the hub add-in myself" The google API's are good but I searched the Windows Phone documentation and discovered that there is no ability for third party apps to integrate seamlessly into those hubs. Sorry to break it to you MS, without extensibility its not a hub, it's a photo app, and frankly I've seen better photo apps on iPhone.
Volume
Volume management is very rudimentary. It's totally non-contextual. When you start a noisy game and turn the volume down it stays down, and I miss the next couple of phone calls. Even more inexcusably if I plug in my headphones start some music I'll turn the volume down to save my poor eardrums. When I finish listening and pull the headphones out, the volume stays at the headphone volume, and I miss the next couple of calls. The keyboard is really loud. I can't type a full message without my cubicle-colleagues shooting angry looks so I have to mute the volume and occasionally forget to un-mute, and I miss the next couple of calls. I could turn key press sounds off altogether, but I just want it quieter, by a fair bit.
Clocks
Upon release the phone had no timers, stopwatches or world clocks, a few weeks after release some Microsoft first party apps appeared on the store to add these features, but they're separate apps. They are pretty but have inconsistent UI's, they generally sit over on the loooong apps list, and provide a more in-and-out experience than you'd find on... say, iPhone.
FM Radio
I like being able to listen to FM radio, I don't commute on public transport anymore, so I can dig all the ABC Radio National I need on my car stereo, but I would like this feature. I can bookmark radio stations so that I don't always have to remember the frequency and dial them up except... I do. Because I can't actually name a bookmarked station.
Data Counters
I haven't found any. Only way to know if you're usage is crazy (for example, if you have a Yahoo email account and it's churning through data like crazy) is when you get the bill at the end of the month. Given the nature of mobile data plans it may be a very large bill.
Personalisation
I can move the tiles around a bit, but I've only got a couple of colours to choose from. And I don't really like any of them. Who would it hurt to allow the use of whatever colour I like. It's my own fault if I choose Poo Brown, actually I think Poo Brown is one of the ten colours.
Ringtones. A smartphone without custom ringtones. Really ?
The supplied tones (ring - message - alarm) are all roughly the 
same 'theme'. I'm not sure about android, but the iPhone provides a good collection of distinctive ringtones (which you then hear every-where due to the sheer number of the things around)
The Bucket list
The home screen is genuinely an attempt to do things a little differently, but real-estate is at a premium and only a few things can fit on there. Everything else goes onto an alphabetical list on the next screen, and it gets very long and ungainly and most of the icons are in your theme colour.
A touch of Flair
Microsoft has some good graphics people. People love the Bing backgrounds, and that make it onto the phone (though I've come to use the google search app), the Zune app is quite pretty, and when the stars align and you see one of those lovely large artist photo's in the background it's a nice experience, and the Panorama controls in the 'hubs' look great.
Photos Hub is where your personal flair is really supposed to come into it's own, I do get the background picture but there appears to be some kind of Bayesian intelligence ensuring that with all the awesome photos on my phone it only ever chooses the most boring. I'd love to point it at a folder and say 'there, I've got some pretty pictures in there choose from that lot', but that's not an option.
People tiles on the home screen are great. I call and text my wife a lot and not having to find her on the list each time is good. (There is some kind of cognitive dissonance here as I still find myself going into the list half the time, I'm a programmer and gamer and a geek first class, so I should be able to adapt). But with the funky animation on the tiles, the persons name is only displayed half the time. The rest of the time it uses the contact picture, which is updated from one of the integrated online services like hotmail or facebook (and I love how it grabs contact details and piccies from facebook). However when the contact behind one of those smart tiles changes their profile picture to their cat, or child's painting, or Master Chief you have to scroll, stop, wait for the live tile to reveal a name, repeat.
Updates
Feb update in April, The update that was supposed to be in December became the March update which I got in May. they promise lots of goodies in mango, but I just think "When will I acutally see Mango"
API's
There are no apps that use the camera for cool stuff like augmented reality or bar-code scanners because there are no API's to access the camera, or the gyro's. Apps like Skype cannot work because programmers can't use sockets (raw network communication). Many of these things are slated for Mango, but that’s quite a wait.
Calendars
I can still only link one, I have a personal calendar a work calendar and a calendar I share with my wife. When Apple got Google calendar sync working well this was an awesome and well implemented feature.
And On
I could go on (and on). Windows Phone is a novelty to most people, so I'm often asked what it's like and I that's a question I can't answer without qualification. Using the thing day-to-day it's fine, the phone works well enough it's not as well designed in many ways as an iPhone, but it's biggest problem are it's little ones. There are so many little rough edges that need polishing, and they not only haven't been polished, they're not even in the language for the Mango release.
When I got an iPhone 3G there where rough edges but once every two or three works an update would appear (a great big ungainly update with ambiguous or non-existent patch notes) I knew that the rough edges where getting looked at and improved. 6 months later I had a phone where a lot of the niggles where gone, 12 months later it was a very polished experience. In comparison, 6 months into owning a windows phone I was wondering why I couldn't get the only released update for my phone, and why there where some new features, but no polish on the old ones.
