I miss the "You get a Keep and dudes to run it at 9th level". I like nation building and management of that style, and I haven't seen that thing in 3e or 4e at all yet.
This I do miss. I always liked the idea of a PC becoming a powerful lord by his own hand and bringing law and order to a dangerous land. I suppose it a bit of the Old West in medieval trappings, with some empire building thrown in as well. That kind of fell by the wayside in 2e, though Birthright tried using some of that.
I also miss cursed items. You never really see them in D&D these days.
Or as I call them, "fun for the DM". I always enjoy tossing in the occasional cursed item to liven things up. I don't like the insta-kill items too much though, they tend to be cheap ways of knocking off PCs (though I've always liked the
bowl of watery death). I do use some of the old-school rules for cursed items even in later games though. For one, cursed items always mis-identify as something good. This was an unpleasant surprise when a 3e party expecting a Strength bonus found themsevles in the possession of a
girdle of masculinity/femininity. Even more amusingly, the party bard got the blame and not me.

I also use the old rule that cursed scrolls only need to be looked at for the curse to be effective, because otherwise, a cursed scroll isn't much of a problem at all.
After awhile, I did away with XP altogether and did leveling up by DM fiat. Usually after about 8 or 9 encounters and/or reaching a milestone, I had the players level up. But I still had players do training for each time they level up, which required some gold to pay for. The XP numbers quoted for encounters didn't really make sense to me, other than appearing to being numbers chosen almost semi-arbitrarily.
I'm thinking of moving on to a more fiat-based leveling system myself. By the book is ok for inexperienced DMs, but I've alway disliked the default advancement rates to some degree or other.
Some of the new art is great, but artists like Elmore, Easley, Caldwell, and Parkinson really defined the game for me. Dragons will always look like Elmore's dragons.
Some of the 3e and 4e art isn't bad, but for the most part I miss the big 4, and the color plates that would appear in the 2e rulebooks.
The other thing I miss is the sense of the fantastic. Magic items seem so stale these days, providing X bonus here, Y power there. I liked the flavor of the 2e magic items. I liked how they were sometimes downright bizarre. Flame tongues and frost brands. Gauntlets of Ogre Power combined with a Girdle of Giant Strength for warhammers. I also miss wild magic. That was so much fun.
Post-2e had more balanced items overall, and has better rules for placing things (I was always rerolling stuff on 2e tables because I was never sure how balanced it was). But there's some really cool stuff in the Encyclopedia Magica that would just never work quite right in the newer rules. And that's a shame. Some of that stuff needs to be treated like minor artifacts or something similar so that it's hard for the players to just crank the stuff out whenever they want, but still gives the DM the opportunity to throw some really weird stuff into the game.