No native support for multi-tier pricing is the most frustrating thing I come up against. Often have clients wanting a wholesale/reseller tier. There are add-ons for it and kludges, but it'd be great to have even basic built-in options.
1) Very limited promotions system (one coupon code per order hard limit, limited options) - mitigated somewhat now with Shopify Pro and the script editor, but only somewhat.
2) No multiple currency support.
3) 100 variant limit per product (I've used a couple different ways around this in different stores, but none of them ideal).
Apps mitigate many of the other missing features and annoyances, but sometimes having to rely on apps is a tough pill to swallow (like needing to use Power Tools just to create smart collections with any kind of advanced rule set.)