Here's a short list of those that don't have a decent Linux counterpart. These are just from my personal experience.
Exact Audio Copy. Nothing Linux has comes close. Enough said.
iTunes. Rhythmbox has the look and feel, but still won't playback mp3's gaplessly when the necessary metadata is present. It can do gapless with vorbis, but I'm not re-encoding my entire library from scratch to do something iTunes already does, not to mention having files that won't play on common music players. Amarok might have worked out, except when it locks up every time you import your music library, a known limitation the writers have acknowledged but refuse to fix, simply saying their player wasn't meant to handle that many tracks. (it's not a bug, it's a feature!) MPD sounds fantastic, but the limitations of the available frontends and the configuration hassle leave something to be desired.
Dozens of games. Stupid Microsoft and their DirectX... and don't tell me about virtualization and wine, it's either native or GTFO. Games crash enough and lag enough running on Windows without having another layer of configuration and fail to screw it up. I'm more of a console gamer anyway but still...
Abobe Flash Player. It works... sort of... almost... until you fullscreen and it makes Firefox just up and quit. Fail. I'm pretty sure that's Adobe's fault, though.
UPnP/DLNA Server software. There's plenty of software to do this, including mediatomb, mythtv, ushare, and so on. I have yet to find one solution that doesn't cost money that works with my Xbox 360, despite spending days trying every technique I can find to make them work. If I'm going to buy a "binary blob" just to get a service working without having to spend ridiculous amounts of time in the command line and actually have it not work then I'll buy a copy of Windows and get a freeware program that's easy to use and configure. I'm sure I could get it to work under Linux, but why should I have to spend all that time figuring it out when I could be spending it watching stuff on my 360.
I love my Linux Box; it's stable, secure, and fast. There's absolutely nothing wrong with Linux on the desktop, but when Windows can do multimedia without all the bullshit required to make Linux do the same thing and then in some cases have Windows do it better, it's no wonder the only success Linux has seen is on servers and netbooks. Long story short, games and multimedia suck on Linux.
Currently running Ubuntu 9.04, if you wanted to know.