Here's a short list:
The mini Mac OS X will be stored alongside your music and other files, this Mac OS X should take up less than 500MB. So you won't be able to store 4GB and 8GB but 'only' 3.5GB and 7.5GB. All iPhone software will need to be approved by Apple first, but we already knew this. However, it's possible that the Safari browser will support Java and Flash. You can't purchase songs from iTunes directly from your iPhone. However, this may become possible in the future. You can't use iTunes songs as ringtones. No VoIP on the iPhone. Probably because Cingular doesn't really like this.