One of the key differences between Java and .NET development is cost. To get the right Microsoft solution costs thousands of dollars. And what you get is something very different to an IntelliJ, NetBeans or Eclipse. You get vendor integration (or lock in if you prefer) and competition against the community. It may appear attractive to some but it seems odd to me to actively fight integration into existing, open solutions. It does seem though that the open side is winning (I wish Sun had've done the same thing when choosing a logging API).
Unit testing and source control are obvious ones. It's amazing to see that their entry level IDE does not come with this. There are great free solutions in NUnit and MbUnit. MbUnit is especially cool (released recently) allowing all sorts of built in test fixtures. And there's always Ankh for Subversion integration. There are lots of alternatives.
A summary from a Microsoft developer: Hey, Shareholders! VS 2005 is *Fantastic* and our Developers Love Microsoft! "I might wander in early on Monday to meander through the crowds celebrating the big Visual Studio launch. But my heart is heavy that we shoveled what we could together and Won't Fix-ed this release out the door. Microsoft has just opened a very big door to competition in the IDE space. Or at least towards people jealously holding onto VS 2003 and saying, "CLR 2.0? Screw that! The last time I tried to use generics my machine locked up!" Big freakin' mistake. Microsoft should be ashamed."