Not in any particular order; just as they come to me (some of this is hardware, some software):
1. That I can't set a default to have the watch get all notifications if it is unlocked. Even if I am actively using my phone, I want notification sounds to be done by only one device - my watch - when it is on my wrist.
2. I want the ability to add any notification tones on the phone to the watch. And I want the ability to customize tones and haptics by app to be the way that I want them.
3. The upgrade process needs vast improvement. I'm not sure how, but it needs to be improved.
4. Workouts should be more flexible/give more options (such as support for haptic feedback of running intervals - run 3:00/walk 1:00; sprint 400 meters/easy jog 100 meters; etc.). Workouts should sync with third party options such as Strava without a third party app. Workouts should be visible on the watch itself when they are complete. And there needs to be an option to turn off the dopey 3...2...1... countdown without tapping the watch. You should be able to do almost everything with the button(s) and the crown without having to tap or force-press the screen.
5. I don't like that the cellular version is not yet completely usable without a phone. Mail should be able to show html content. All messages should be visible. WiFi access points should be able to connected and added, even if they require a captive portal. (Which would require a web browser, but I'm fine with that being only available to services and apps, and definitely would not want a Safari app on the watch.) All apps should be able to access data over LTE/cellular, including music apps other than the stock app.
6. The next Apple Watch should figure out an optional (not default) way how to show the time always, not just with a tap or wrist raise. (I'm fine with existing models not supporting that feature.)
7. Any notification that comes to the watch should light the screen, no matter what. If I am carrying something and a notification comes, I want the watch to light up and show me the notification.
8. Not the most important issue, but I don't like that the the watch cannot be paired with an iPad. I know people who own iPads but not iPhones and might benefit from an Apple Watch.
9. For the benefit of outdoor workouts watch-only, the watch should show when there is a definitive GPS lock so you can wait to start the workout until location is connected.
10. I'd don't like that the calendar shows only the next week of events.
11. I don't like most of the watch faces, and would like to see more high-quality versions without the Disney tie-in.
12. I want the control center to be customizable - allow me to remove icons I don't want, and re-position the ones I use most often, or learn the ones that I use and move them toward the top.
13. I don't like the off-center Digital Crown, and that there is only one hardware button. I think that a second hardware button should be added, putting the crown in the middle, and allowing the two buttons to be used in the workout app for start/stop/lap etc., and allow for a hardware button press in other apps don't access the dock or bring you back to the watch face.
14. The sales process: watches should be a la carte, so you can buy without a band if you already have some, and allow you to buy a watch with the band of your choice.
I agree with
@tadpoles about scratch resistant crystals. The should all be sapphire.