As the outer shell is basically the same (or in other words: all hardware features that they fitted into the N9's form factor could just as well be fitted into the Lumia 800 form factor), these things are software limitations that are in WP7 right now (doesn't mean that these will stay in the future). Most basic things that the N9 can do (and the WP7 devices can't yet) can even be done by the N900 and Symbian devices. It's also written from a pure end user experience perspective - I've talked about SDK availability earlier.
- The Lumia 800 has a camera hardware button - the N9 does not. I would really like the N9 to have a hardware camera button (what's the progress on getting one of the volume keys to act as shutter button?)
- If you turn off the Lumia 800, wake-up alarms won't work - they do work on the N9, i.e. with an alarm set and the N9 turned off, the N9 will turn itself on and ring the alarm
- If you receive a call from a number that's not on your phone book, you can't directly add it to your phone book - you have to copy the number, then go to the contacts, create a new contact and paste the number there - on the N9, there's a button for this - and it even allows you to "Add new" or "Merge"
- The N9 has NFC - the Lumia 800 does not (WP7 does not support NFC at the moment)
- The N9 has TV-out - the Lumia 800 does not (on the other hand, some Symbian devices have HDMI out in addition to TV-out - that would have been nice for the N9 as well ;)
- The N9 can be used in USB Mass Storage Mode - the Lumia 800 can not
- The N9 shows the time (+missed calls/new mails/SMS) on its low-power standby screen (like the N8 and E7) thanks to the AMOLED screen - the Lumia 800 has the same screen technology, but (due to WP7 not supporting it, as I've been told) there's no low-power standby screen (the lock screen when the device is reactivated does have more information, though)
- You can send and receive files via Bluetooth on the N9 - I've been told that you can't do this with the Lumia 800 (Update: According to Allan, there is an app for transferring contacts from an old phone to the new one - no info about arbitrary files yet)
- The N9's marvelous virtual keyboard (an open source project, by the way) has very good tactile feedback - on WP7, the only feedback you can get is an audible one (although a long-time WP7 user told me that the virtual keyboard there is very good, even without tactile feedback)
- Swipe. It really makes a difference
It also shows that when a vendor controls both hardware and software, they might be able to put together a more interesting HW/SW mix compared to the situation where someone else controls the software. And it really lets me look forward to the Next Billion(tm) and QML there. But for now, let's enjoy the N9 and create some cool apps (and games) for it, like a FM Radio GUI for javispedro's fmrx app or gPodder 3 (coming soon) maybe?