What are the components we can't add to change set in salesforce.

Here is the list of unsupported Metadata Types.
The following components can’t be retrieved or deployed with Metadata API, and changes to them must be made manually in each of your organizations:

• Account Teams
• Activity Button Overrides
• Analytic Settings
• Automated Case User Settings
• Auto-number on Customizable Standard Fields
• Campaign Influences
• Case Contact Roles
• Case Feed Layouts
• Case Team Roles
• Console Layouts
• Currency Exchange Rates
• Data Category Visibility Settings
• Delegated Administration
• Divisions
• Email Services
• Fiscal Year
• HTML Document and Attachment Settings
• Lead Settings
• Mail Merge Templates
• Mobile Administration
• Mobile Users and Devices
• Multiline layout fields for opportunity teams
• Offline Briefcase Configurations
• Opportunity Big Deal Alerts
• Opportunity Update Reminders
• Organization Wide Email Addresses
• Partner Management
• Predefined Case Teams
• Product Schedule Setup
• Public and Resource Calendars
• Quote Templates
• Salesforce to Salesforce
• Self-Service Portal Font and Colors
• Self-Service Portal Settings
• Self-Service Portal Users
• Self-Service Public Solutions
• Self-Service Web-to-Case
• Site.com
• Social Account/Contact Settings
• SoftPhone Layout
• Solution Categories
• Solution Settings
• Tag Settings
• Territory Assignment Rules
• User Interface Settings (except calendar features, which are supported in Activities Settings)
• Web Links on Person Account Page Layouts
• Web-to-Lead

Note: You have to made them manually in all your organization.