Personally, I am quite content with the state of OS X these days, with a few minor annoyances. Overall the OS feels stable, fast, and has great application support (many of my 'stranger' work apps have Mac ports these days, which was not the case a few years ago).
My main annoyances:
- When I first got the machine I had to run a terminal command in order to unlock the ability to run apps from 'Everywhere' - this should never require a terminal command, as the ability to do this was already buried in system preferences
- Office for Mac is terrible compared to Office for Windows (this one isn't Apple's fault). In Windows, the Office apps open faster, have more features, have a better UI, and are more responsive.
- Still need a few 3rd party apps to make the OS do some pretty basic things. (BetterSnapTool to get Windows like windows-snapping. USBoverdrive to get mice to perform as wanted with normal scroll wheel acceleration and no mouse acceleration.)
- Better backwards compatibility. I just want each major OS update to not break software that is only a few years old.
- Finder is still inferior to Windows Explorer in terms of features
- High DPI. using a retina screen in OS X has been a great experience for years now. It is not the case in Windows. Microsoft still has to improve in making sure the majority of 3rd party software works well with high DPI displays. (Microsoft's apps themselves are great, but High DPI scaling doesn't work great with many 3rd party apps in Windows).
- File structure. I don't like how Windows tends to show you shortcuts instead of the actual file much of the time, specifically for application files. Although OS X is getting more similar to Windows in this regard
- Security. OS X enables FileVault (disk encryption) by default and has dropped support for out of date technologies like PPTP VPN.