From a retail perspective, one big difference is the high end luxury brands in Dallas (which I do not care about nor do 95% of people), but it is a status thing.
Money / tax dollars does leave our state because of our lack of high end options.

It would also be nice to have more than one Mall option. Quail Springs is getting a lot better, but Penn Square is king for now.
A second Apple Store and Whole Foods in OKC would be great!

OKC has come a LONG ways Retail wise, and we we are getting there as MANY national retailers are looking at locating/expanding in OKC. The next 5 to 10 years could be nuts!

OH! And Dallas has QuikTrip!