Some Oracle features I really like are
- Real Application Clusters, a quite powerful way to make database clusters
- Fast refreshable materialized Views, a very efficient way to store and update query results
- Analytic functions (aka window functions) which allow grouping functions on a subset of the query results in a efficient way. This can avoid self-joins in most cases.
As far as i I know, none of these is available in MySQL. And there are many more useful features, especially in the enterprise edition and its options.