There are four HTC apps installed on /data instead of /system (flashlight, calculator, ringtone trimmer, and sound/voice recorder). When unlocking the phone, the process completely wipes /data and so those four apps are deleted. However, most of the roms available now include them, for example Android Revolution HD and TrickDroid. If you don't want to install a custom rom, you can just extract those apps and install them manually, which is what I did at first. Look for "Flashlight.apk", "Calculator.apk", "HtcSoundRecorder.apk" and "HtcRingtoneTrimmer.apk" in the rom zip file.
The biggest complaint I have about the wipe that the unlocking process does, is that it wipes the sdcard. I mean, c'mon, is that really necessary?? I had made a Carbon backup of all my apps onto the sdcard, thinking they would be safe. Nope. Everything on it was wiped, including all the photos I had taken. The HTC dev unlock pages do say they are wiping all data ("for your protection", ha!), but they don't specifically mention the sdcard so I mistakenly thought "all data" was simply all *internal* data, and it was quite a shock when I found that all my backups and photos were gone. Oh well, I did it pretty early on so didn't lose too much. Live and learn.