I know I'm hardly the first to say it, but with me, the biggest sticking point is the dock. I've thought about this for a long time, I've read many articles about it, and argued with twice as many Mac owners. It's difficult to organize my thoughts about the issue, because the things I see as the dock's "flaws" are so tightly integrated with many of the Mac's more general "flaws," but I think the best way is to explain the basic thing that I can do with Windows/taskbar, but cannot do on a Mac: I can see any window with one look, and switch to it with one click. The Mac's ability to meet this basic desire can be buried underneath numerous of layers of extra steps.
I'll assume that the dock is not auto-hiding, and that the icons are left-aligned and unmagnified in order to keep the size and position of each icon consistent. That much, at least, I can determine according to my preferences. I'm also apt to remove all permanent shortcuts to non-running applications and files, so they're not mixed in with things that actually exist.
But even with this careful planning, a few hurdles remain.
First, I may need to move my mouse away from what I'm working on in order to hover over the icons, revealing their titles. Otherwise, I may be unable to differentiate between two icons with similar (e.g. document thumbnail) or even identical (e.g. folder) appearances.
Second, no matter how many or how few windows I'm working with, I am forced to access them through the application icon. This means either clicking through the icon's context menu, which is invisible by default, or switching directly to the "app" and then visually scanning for the individual window that I'm looking for, assuming it's not obscured by the arrangement of my desktop.
In Windows, it is impossible for me to "lose" a window, either behind another window, or off the side of the screen. I can always still see it in the taskbar. On a Mac, we have the third hurdle: I run the risk of literally forgetting that a window exists unless I explicitly seek it out, using the app context menu. For those keeping score, we're up to a hypothetical scenario which requires me to 1) actively identify a dock icon, 2) click it, and then, discovering that the desired window has been obscured, 3) return to the dock icon and use the context menu, or else rearrange the app windows by hand 'til I find it.
There is one saving grace: Exposé. I can use this to immediately view all windows which haven't been minimized. However, I see this as analogous to Windows' Alt+Tab and Win+Tab features: useful as a utility, not as a primary window manager. Especially given the random placement of windows, the relative difficulty of visually distinguishing thumbnails, and, like the dock, the lack of labels. It also fails the one-glance requirement, since I have actively invoke it, and doing so obscures whatever I was previously working on until Exposé is dismissed. It's not a solution.
Fourth hurdle: some of these methods fail if a window has been "minimized." The Mac's minimizing behavior is actually more like putting something in Windows' system tray: the window fails to appear when I switch to its app directly, and is excluded from Exposé. The only place it appears - ironically enough - is the dock. Yes, the only individual windows that the dock ever shows are the ones that I wanted to hide from view. And of course they're not actually grouped with their parent app, but rather off to the right.
Now, I like this ability on principle, and I actually think Windows should let you freely move windows over to the tray and back. The problem is that this appears to be the only convenient way of removing an individual Mac window from view. The only other way is to switch to it and then hide it using Command-H, and I'm actually not sure if it's still directly accessible from the dock/Exposé if I do so. Between this and the lack of a proper Maximize function, I can't help but imagine the Mac environment as a terribly messy one, full of distracting windows that can't be concealed without duping the primary task manager. Ultimately, even if I'm willing to swallow these pills, the only consistent way to switch to a particular window is to 1) actively identify the dock icon of its associated application, 2) open its context menu to determine the windows available from that app, and finally, 3) click the menu item.
With Windows? I look at it, and I click it. That's it. Doesn't matter if the window is minimized. Doesn't matter if all the windows are minimized. Doesn't matter how they're stacked or which is on top of which. It's just there, whenever I need it, instantly.
(Full disclosure: most of my knowledge of the Mac paradigm comes from Google research and discussion with Mac users. I've only had brief opportunities to use OS X myself. If I'm wrong about the details, please do correct me.)