Name one thing ...
Okay, I'll bite the troll-bait ...
There is nothing you can do on *nix that you cannot do on windows without a little thought. However, if you know *nix WELL, there are things that you can do very easily and naturally that are neither easy nor natural on windows.
Two examples from my real life:
Several years ago, I was asked to rename all of the (few thousand) image files in a directory so that they had the string "_dpr" between the stem and the extension. I came up with a bash incantation looking something like this:
cd /path; for ext in jpg png gif; do ls | grep "\.$ext$" | while read file; do mv "$file" "$(basename "$file" ".$ext")_dpr.$ext"; done; done; cd "$OLDPWD"
(On windows you'd either spend all week on the task or install cygwin and use a *nix style shell to run a *nix style command, so it's possible, but not particularly natural).
A few weeks ago, a friend and I wanted to exchange a few GB of data. With no USB sticks to hand, we fished out a length of crossover (because the wireless network would have been painfully slow) and used netcat (he typed 'nc -l -p 1234 >file.dat'; I typed 'nc 10.0.0.3 1234 <file.dat'; it took about a minute, maybe two)
On windows you might manage to find a native build of netcat, or you might set up a one-off FTP server, or you might go out and buy a USB stick, so you could do it, but it would be neither easy or natural (and it would probably take you longer than a minute (including faffing about time), even with a length of crossover).
I have a few more (increasingly boring) anecdotes in a similar vein. I tend to acquire one every couple of years.
It may be that the converse of my thesis is also true, that there are things you can easily and naturally do on windows that are neither easy nor natural on *nix, but if there are, I am yet to find them. Perhaps you could furnish us all with an example or two, that you have experienced in your real life?