I'd like a task manager that allows you to select ~5 apps to keep running in the background and kill apps that are running and you want to stop (such as safari or the iPod).
Also, wireless radio manager on the home screen so I don't have to go into the settings and then 2-3 layers deep to turn off WiFi/3G/Bluetooth. I always used the radio manager on my WinMo phones heavily, and lots of phones had one touch access to said manager.
Copy/paste would be nice.
Wireless sync, either over Wifi or bluetooth. If the Zune can do it why not the iPhone?
TBH, MMS and tethering are 2 things I will never use. To me tethering with the iPhone completely defeats the purpose of owning an iPhone. You have the internet, tunes, email, games, and nearly elevendy-billion other things you can do with it. Why would you still want to carry around your laptop just to hook up your iPhone so you can go online? It's so nice when I go to the airport now, while everyone is pulling their laptops out and emptying their pockets I just put my iPhone in the tray and that's it, I'm ready to go (as soon as I can escape all the people who ask me about how I like my iPhone and not having to carry on a bag and tons of crap.)