A list of assemblies is available at Assemblies in the .NET Framework Client Profile on MSDN (the list is too long to include here).
If you're more interested in features, .NET Framework Client Profile on MSDN lists the following as being included:
- common language runtime (CLR)
- ClickOnce
- Windows Forms
- Windows Presentation Foundation (WPF)
- Windows Communication Foundation (WCF)
- Entity Framework
- Windows Workflow Foundation
- Speech
- XSLT support
- LINQ to SQL
- Runtime design libraries for Entity Framework and WCF Data Services
- Managed Extensibility Framework (MEF)
- Dynamic types
- Parallel-programming features, such as Task Parallel Library (TPL), Parallel LINQ (PLINQ), and Coordination Data Structures (CDS)
- Debugging client applications
And the following as not being included:
- ASP.NET
- Advanced Windows Communication Foundation (WCF) functionality
- .NET Framework Data Provider for Oracle
- MSBuild for compiling