A real POSIX shell that isn't slow.
A fast gcc and the like.
It is a pain to compile psycopg2 and lxml on windows compared to linux. Cygwin and virtual machines are unfortunately too slow when you are used to working in a non-virtualized Linux environment.
I'm heavily biased though because once you are addicted to the command line, it becomes very hard to live on Windows :-(
IPython doesn't get you POSIX, but it mitigates a lot of the pain. I run it inside console2 and the experience is pretty good. I have grep, gzip, plink, ffmpeg, and a bunch of other command line programs available from gnuwin32 and elsewhere. Given the choice I would use linux, but the most powerful machine I have access to is Win7 and I'm prohibited from changing this :(
Have you seen PowerShell? It has only shipped with the OS starting with Windows 7, but it's a surprisingly powerful shell--in some ways it looks way more powerful (and complicated) than bash and the like.