Little things you take for granted really.
Having to connect to your PC to update the software is rather annoying. Although they claim to have that fixed in iOS5, but you STILL need to plug the thing in to get it.
Demanding WiFi for certain apps in the store.
No on-phone file management system.
No easy way to get a ringtone. Seriously this is rather annoying to me. You have to do all of this song and dance to get a ringtone you like.
Internet browsing on it is slower compared to Android's browsing speed. No point in even arguing that point, it's just a fact. My iPhone crawls on the net compared to my old Droid. Also my internet magically becomes faster (WAY faster) when it's tethered. This is just a limitation of the phone currently. Hopefully iOS5 fixes this.
A notification sound regardless of what it is for (A text, or groupon bugging the crap out of me 30 million times a day) has to be the same. My text message's and facebook alerts HAVE to share the same sound. A little irritating not knowing what I can and cannot ignore until I look at the phone.
The notifications are amazingly annoying. But as mentioned a billion times; is being fixed.
No facetime over 3G is rather annoying. But again, iOS5 claims to deliver.
The map's application is smooth and cute, but not the powerhouse that map's in on android. The "directions" it gives you is laughable as it is just as useful as printing out old map quest directions 10 years ago. The fact that I have to pay for navi is rather annoying and the biggest thing I miss from android.
But the phone is good. Really good. The camera is fantastic. Call quality is great. The screen is spot on! And the phone itself is gorgeous! So many people choose to hide their phone behind walls of plastic and metal. I love to show it off!
But the real deal is the app store. Many people can argue it. But the appstore is just plain better than the android market. Did I have to pay for Angry birds this time around? Yup! But it looks better! And get's updates first. Plus the app-store gets preference when dev's make apps usually.
And when it comes down to it, that is where they make or break. People spend all their time on these devices buying, downloading, and playing/using these apps. That's easily 75% of the phones usage.
Before you'd hop on facebook{DAWT}com, but now you just go to the app!
Same for nearly everything else. They've compartmentalized the internet into nice little bite sized pieces. And those little pieces are a billion times better on the app store.
***EDIT***
And NO HDMI out! Seriously, I would LOVE to mirror my iPhone on my TV. The iPad can with iOS5, and it is rather annoying that the iPhone cannot.
***EDIT 2***
If I am incorrect on something here, and you know a way to fix any of my issues, let me know.
I understand you 100%. Today is my second week with the 4. I have a Thunderbolt as well. Ill tack on to a few of your points...for one, alot of those gripes can be changed when jailbroken..and fortunately enough, unlike Android where you have to download the whole RUU to go back to stock and clear through CWW and flash through HBoot, all I need to do is plug in to iTunes and restore..thats much faster for me. Here's what I miss with the iPhone (and jailbreak changes):
TRUE push notifications: Yes many apps allow "push" but it just isn't the way my BB or Thunderbolt do it.
LED Notification: I can take it or leave it...but much rather have it. lol(so I downloaded Notified Pro and it actually isn't THAT bad).
FLASH!!!!: It is incredibly annoying to view some sites and you just see this grey box with "flash" in it. (I downloaded FRASH and Idk about others but it still isn't TRUE flash.)
Browsing speeds: Sure, we ALL know Safari sucks. It is SO SLOW. (Fortunately enough, you don't need a jailbreak fix for this. Atomic Browser and iCabMobile are MUCH better, faster, and have the feel of Dolphin Browser [my favorite] and they are right from iTunes)
Navigation: Was another thing I needed. Google Maps was awesome once I rooted and had a better rom/kernel. Now, I just use Navigon. AWESOME and the BEST navigation tool.
Push e-mail: Even when my gmail account was set-up I wasn't getting PUSH notifications. I even tried a couple of useless apps. It was until I found this write-up on setting up my GMail as a microsoft exchange email....WA-LA! Im getting emails RIGHT as they come. The best feeling ever.
I tell people this: I really like my Thunderbolt. It does so much its insane. Sure the battery sucks but when you root and throw on a rom/kernel, that will change. Screen is gorgeous. The iPhone just WORKS. I haven't had any issues (as bad as I talked about Apple products -_-) lol. Im actually looking for iOS5. I think it'll really make me happy.