One of the biggest shortcomings of vim is the lack of a good ido-mode style file-opener. People seem to rave about command-t, although getting it set up on Windows proved too annoying for me.
FuzzyFinder is nice, but graphically it's a mess. Like everything else in vim, really.
This is the biggest meta-shortcoming of vim: the fact that it doesn't come with a built-in programming language. This forces extension authors to bring their own, with the expected consequences.