Some important features, such as modules, are missing in F#. I suppose the intention is to replace them by interfaces and classes, but modules in particular are an important omission that makes me prefer OCaml (though I like both ;)).
A few other missing features: polymorphic variants, structural types for objects, functors, camlp4 (though it's not really O'Caml core, it's pretty nice).
Some important features, such as modules, are missing in F#. I suppose the intention is to replace them by interfaces and classes, but modules in particular are an important omission that makes me prefer OCaml (though I like both ;)).