First up a couple of fairly obvious ones:
The problem: There are no two ways about it Internet Explorer is an absolute dog. The German government is even recommending that people stop using it due to the pathetic level of security offered.
The Solution: Installing Firefox is pretty much the first thing I do when I get my hands on an XP box.
The Problem: Windows Media Player 10 is also well past it. The interface is ugly and unintuitive, It can't play common formats like AAC and MPEG4, Music library management functions are virtually non existent and worst of all it once destroyed (and I mean literally destroyed) my wife's MP3 player by crashing during a sync even though it was the model featured in the Microsoft "Plays For Sure" advert.
The Solution: VLC is like the Swiss army knife of media players. It's almost impossible to find a file it won't play and it has a mass of other useful features. Media Monkey is a superb app for managing your music library and has loads of great features for ripping CDs and syncing MP3 players.
Now on to some stuff which if you have only ever used XP you might not even realize is much nicer on other platforms:
The Task Bar
The Problem: Once you have a lot of Windows open the task bar gets cluttered, The system tray quickly gets swamped with junk and the whole thing looks very tired.
The Solution: Rocket Dock is a very nifty piece of software which apes the behavior of the Mac Dock and makes managing Windows a lot easier. With this installed you can set the bar to auto-hide and forget about it
The Start Menu
The Problem: You don't have to install very many applications before the whole thing get completely clagged up and you can't find anything.
The Solution: You can put your favorite apps on Rocket Dock, but for a solution which works for the hundreds of apps you doubtless have installed you want to get Launchy. Launchy pops up when you hit a certain key combination and works out what application or file you want as you start to type its name in. I was skeptical when it was recommended to me, but now I can't imagine living without it. Mac and Linux owners have had access to these features for ages thanks to Spotlight and Do so it's time you got in on the party.
The Problems: If you've never used a machine with virtual desktops you probably don't know why you would want them but once you get used to having three or four different desktops multitasking at home or work becomes so much easier. For example my work machine has 4 desktops split by function between e-mail, internet, software development, and documents which lets me instantly jump to a screen set up for my needs.
The Solution:Dexpot is a superb virtual desktop manager with stacks of great features like allowing different wallpaper on each desktop.
The Problem: I only used my old XP desktop once in a blue moon and so when I logged in it was not uncommon to discover that in addition to Windows update I could have: Virus Scanners, Adobe Acrobat, Java, Quicktime, Flash, etc pop up and demand to be updated each with a separate dialogue to click through. On Ubuntu all the applications update themselves through the same mechanism that updates the operating system.
The Solution: I've never found one, but if anyone out there can tell me they will go straight to the top of my Christmas list.