I really loved having the red notification light for when a message was received on my BB. Having to click a button on my iPhone in order to check whether I have a notification or not is quite jarring, and time consuming.
And like everyone else here I really miss having a proper keyboard. That thing was great.
Not quite the same and probably not as useful, but on iPhone going to Settings > Accessibility > Audio/Visual is an option for LED Flash For Alerts. This probably isn't as useful because the flashing only occurs when the notification arrives and isn't a persistent visual indicator like I assume the BlackBerry light was.
And like everyone else here I really miss having a proper keyboard. That thing was great.