[gsa]

My favourite feature is shared command line history among all open shells. It was my "how I lived without that" feature, and one which I use a lot. Of course, it's only useful if you use the shell for extended periods.

The glob features are certainly quite useful too, for example, if there's a file nested deep inside some directory I can just enter

    vim **/filename 

and zsh will expand it for me.

[zurn]

works in bash too, enable it with shopt -s globstar.

[ithkuil]

should be there in bash 4