I'm a little surprised that this is a sticky and it hasn't been updated in over a year. But I'm game, so here's my two cents:
1) No LED flash for camera - I know there are other Samsung and Android phones that have this, and so does the iPhone 4. Although it's a shortcoming, it's not a deal-breaker for me, as I also have a point-and-shoot digital camera that I carry around as a just-in-case camera (ever been in a car wreck and wished you could take pictures?).
2) Battery life - I have read some of the other posts on this subject, and I'm aware that the stock Samsung battery contains built-in electronics that regulate battery charging and drain, but I don't think the electronics work properly, because every so often my phone will spontaneously reboot. My daughter's iPhone had this problem as well, so it may be something endemic to certain types of "intelligent" batteries. May switch to a generic brand to see if that improves. As far as battery life, it's pretty much average for me, but I also charge my phone every night. Might try the trick of fully charging/discharging for three cycles to see if it improves anything, but as much as I use my phone I don't know if that's practical. We'll see.
3) E-mail clients - This is where the Captivate (and IMO Android in general) really suffers. I've used the built-in email client, K-9, Gmail and others, and none of them bring the unified, clean experience that the iOS mail client brings. I believe this is where Android could shine, but there are so many different apps out there (K-9, Maildroid, Touchdown, etc.), and some do some things well and others not so well. There's got to be some bright person out there who can code an email client that will allow a Captivate user to see getting email as routine (a la iPhone) as opposed to a pain in the neck.
4) Case - I like the sleek look and feel of the Captivate, but maybe it's a little too sleek. The outside case is so slick that I tend to find myself holding on for dear life. I know this could be solved with a gel case or an Otter box, but would it be too hard for Samsung to simply texture the outer edges of the case a bit, just for a better grip? (And this is a gripe I have with all smartphone manufacturers out there - why is it necessary to purchase an extra $50 case to protect against shocks and slipping when it could simply be designed into the phone itself? But I digress......)
Those are my four biggest gripes, but there are other minor ones too numerous to mention. However, none of those are dealbreakers for me, and if it helps me get out from under Apple's "one size fits all" mentality, so much the better.