Probably things like confession, the rituals etc.
Confession as a Holy Mystery/Sacrament--as well as an integral part of the Divine Liturgy, Vespers, Hours, or private prayers--is not accomplished through the priest, although the priest is usually present and may act in various capacities (witness, spiritual father, and prayer leader (in the case of the Liturgy of the Faithful). I have never confessed only to my priest but to the Lord and
my priest, when the priest was present. On the other hand, the role of the priest is critical when it comes to absolution, that is, when the Lord is "talking back" to us because, as the Bishop's Deputy, he does have the authority to bind and to loose in the name of the Lord.
I would tell my Protestant brethren that we have both private and corporate prayers and the latter are led by our pastor, just as it is in their churches. And that we also have many sacraments, which we call Holy Mysteries, that can only be led by a pastor who is also a priest, in accordance with the Holy Scriptures.