Certain MSI's required explicit "run as admin", though I think all MSIs will get a UAC prompt because they are setup programs. Once a user has accepted a UAC prompt brought on by a setup program (MSI or otherwise), it should have full ability to do what it needs to do. IOW, there should be no need to ever run an MSI as admin or run CMD.exe as admin to run the MSI via MSIEXEC.exe.
On a clean install of Vista, WinRAR spawns a UAC prompt when launched directly (.lnk, opening .zip or .rar file). It simply doesn't open at all when right clicking "extract to..." options. I haven't seen either problem on an upgrade install of Vista where WinRARR was installed before the upgrade.
Visual Studio should not need to be run as admin. I can see the argument with some debugging features, but UI and other problems should "just work" whether admin or not. Also, I can't double click to open .sln or .csproj files. Similar to the WinRAR problem, the clicks are just ignored. I can only open them by opening VS. I also can't drag and drop files into VS projects like I could previously. I don't know whether these are UAC related or not, but they are Vista related and very annoying.
Error messages need to be more expressive of the actual problems that are occuring due to UAC. For instance, if you are an administrator and you can't get to something that the Administrators group has access to, rather than saying "Access denied" or similar, the prompt should say "UAC is preventing you from accessing this resource, though your group has access to it". Another option would be to get a UAC prompt. Better yet, if you are in a group that has access to something, you should have access to it with or without UAC.
File permissions, if I want to both change the owner and the permissions on a file, I have to suffer two different UAC prompts. If I haven't devined that though I'm an administrator and the administrator's group has full control on a file (but not me specifically) I'm not supposed to have access to the file, then I might have more UAC prompts to suffer through while troubleshooting the problem.
The security shield icon that appears should be explained clearly somewhere. I'd think would be in a tooltip as well as in properties. It should be explained what it means, when you'll see it, why it's there, etc. Two examples: VS and WinRAR both pretty much require "run as admin", both are set on the compatibility tab to run as admin, yet one has a shield and the other doesn't. So, what does that sheild mean to me? Nothing at all.
UAC appears to be all or nothing. I'd like to have protected mode in IE w/o all the other UAC annoyance. I understand from a coding perspective there is some relationship, but from a user perspective there is not. What does changing a firewall setting have to do with protecting me while surfing in IE? Absolutely nothing.