Well for starters it has apps.
1- Whether you like it or not, people want apps. They want the latest fad app. It sucks for most people when they don't get to play the latest fad app. You can make fun of these people, but it's the reality. But then there are genuinely useful apps. Like Google apps, Wunderlist, Omnifocus etc.
2- VPN. This is such a deal breaker for me. I plan to purchase a premium VPN by the end of the month. Unfortunately Windows Phone does not support VPN, and even if it does in the future, there is no telling if premium VPNs will have their apps ready for it.
3- Excellent backup/restore. I backed up my iPhone 4S on iTunes. Restored it on my iPhone 5. Backed up the iPhone 5 and will restore it on my iPhone 5S. It's like I never formatted my phone to begin with. Everything is right there when you get a new iPhone. Windows Phone has no backup what so ever other than saving your app list and SMS/MMS.
4- No smartwatch support for Windows Phone, because it currently does not have the required APIs. This was told directly by Pebble. I don't expect APIs to come till 8.1.
5- iMessage and Facetime. Nothing even remotely similar on Windows Phone.
6- Apple customer support. Needs no explanation.
7- You get OTA updates the second they're available. No need to ask around, wait around and wonder around if you'll get them.
8- Battery on the iPhone is awesome. I don't know how they do it, but I've never had battery issues on an iPhone. Windows Phone is notorious for its random battery drains. This issue was there back in 2012, and it's still there despite 3 updates to the OS. Even my Lumia Black running Lumia 1020 is just odd in terms of battery. One night I'll have 2% drain, and the next it will be 15%.
9- Apple actively listens to its customers. When iOS 4 was released, lots of people started complaining about the lack of a notification centre. It was there in iOS 5. With iOS 6 people were disappointed with the lack of UI changes. It was there in iOS 7. Apple copped a lot of criticism over some design elements in iOS 7. They're actively fixing them with each update. iOS 7.1 even alters some icons. Microsoft doesn't give two ****s about what the customer wants. They have their own check list of things they want to do, and no amount of complaining will move them. We've been asking for a notification centre and separate volume keys for nearly 3 years now. We got Kids Corner and Rooms instead.
Look, I'm no Windows Phone hater. I own a Lumia 1020. It's a beautiful piece of hardware. But you asked for a list of things the iPhone does that Windows Phone doesn't. Similarly there are tons of things Windows Phone does that the iPhone doesn't. Both OS have their pros and cons. But stop kidding yourself by thinking the iPhone is just a dumb phone that can't do anything.