ESX and ESXi official comparison:
http://kb.vmware.com/kb/1006543 - VMware ESX and ESXi 3.5 Comparison
http://kb.vmware.com/kb/1015000 - VMware ESX and ESXi 4.0 Comparison
ESX vs. ESXi which is better?
ESXi vs. ESX: A comparison of features
No official interactive console (there is only a "unsupported" hidden console: http://www.virtualizationadmin.com/articles-tutorials/vmware-esx-articles/general/how-to-access-the-...
No official supported SSH access (there is only a "unsupported" access: http://www.yellow-bricks.com/2008/08/10/howto-esxi-and-ssh/)
No support for some 3th part backup programs (and most that support ESXi does not support the "free" version of ESXi)
No support for some 3th part programs
No SNMP "get" polling"
No virtual Serial or Parallel port
No USB disk in the "console"
No support for mount ext2/ext3/ntfs/cifs filesystem in the console
No fully functional esxtop
No fully functional esxcfg-mpath
No vscsiStats tool
No PXE install
Normally with a standalone ESXi host you'll get 1 hour of performance data, the graph should be set to reset every 20 seconds (you can also extend the performance data to 36 hours will a simple hack - http://www.vm-help.com/esx/esx3i/extending_performance_data.php)
ESXi 4.0 free can not be connected to a vCenter Center (it required a VC agent license)
ESXi 4.0 cannot hot-add a virtual disk (it require a hot-add license)
VCB does not work (it require a VBC license)
Lot of 3th part backup programs does not work with free ESXi
RCLI and VMware Infrastructure toolkit are limited to read-only access for ESXi free
The free version of VMware ESXi does not support SNMP
The free version of VMware ESXi does not support Active Directory integration at this time
See also what's the difference between free ESXi and licensed ESXi?