There is actually a lot of changes at the kernel and driver level that are good for overall security but a lot was also left out because it still has to basically be semi-backwards compatible with all the hardware and software that is already out there on an estimated 300+ million systems.
MS could actually do some really secure and good things but they would have to drop all support for previous versions and much of the software. A boring subject probably for most but if you watch or read some of the in-depth technical articles and not just the media reporter guys that are weak at best you could see some pretty amazing stuff. However since no business is going to drop support and customers for a multi-billion dollar hardware/software industry then a lot of those changes can't happen right away. They really wanted to drop the Registry as it got out of control, but that would cause problems for hardware and software vendors so they had to stay with it for now and just ease in some changes.
There is some cool stuff in Vista, just not worth the hassle as you said like XP bugging you all the time. Vista has a ton of popup messages to alert you when things don't go as they want it to go.
