I routinely flip between C# and C++, and the lack of header files in C# is one of my biggest pet peeves. I can look at a header file and learn all I need to know about a class - what it's member functions are called, their calling syntax, etc - without having to wade through pages of the code that implements the class.
And yes, I know about partial classes and #regions, but it's not the same. Partial classes actually make the problem worse, because a class definition is spread across several files. As far as #regions go, they never seem to be expanded in the manner I'd like for what I'm doing at the moment, so I have to spend time expanding those little plus's until I get the view right.
Perhaps if Visual Studio's intellisense worked better for C++, I wouldn't have a compelling reason to have to refer to .h files so often, but even in VS2008, C++'s intellisense can't touch C#'s