When Sirius returned to human form, he always missed his tail most of all. There was no human gesture quite like a wagging tail, and quite often he wished he was a dog just so he could show his happiness like that. Especially when he saw Remus.
Being human never stopped him from licking the werewolf's face though.
Peter missed the amazingly sharp sense of smell and the incredible instincts that had saved him, and the others, from close scrapes many a time.
James didn't really miss being a stag all that much. He was arrogant enough as a human.