I'd say a Control Panel, I miss the plethora of authoritive knowledge and settings for every program, device, driver, network, user, and a dozen more things besides, all findable by browsing and not remembering dozens of commands. Of course I'd miss that either way, because Control Panel has been gutted every new version of windows since XP, but it was once nice.
The Start menu context menu, or SUPER+X, is still nice, although mostly for avoiding poor UI choices and slow menus. The fact that many useful options are guaranteed to be there on every windows machine is nice though.
And I would also say Event Viewer, despite how incredibly clunky it is to use. Having one place to check all system logs and track crashes of all kinds was quite useful.
Basically, windows at one point went out of it's way to centralize settings and info, and that's just not possible in Linux without a lot of setup.