I'm using unmanaged C++ for a new project at work. For a while we hesitated between C++ and C# and eventually went for unmanaged C++ because of legacy libraries.
I miss some of the C# features such as:
No cpp/h separation
Automatic creation of properties from a member field with snippets
Automatic implementation of interface methods in concrete classes.
The .NET collections (I am currently using the STL collections, they're a real pain in the bum)
Interfaces: although you can simulate interfaces in C++ by creating a class only just virtual pure methods and no field, there is still a risk it turns into a base class if someone adds some code to a method...