My personal list is:
1. Cut and paste
2. Universally usable landscape keyboard
3. Saving web and email images (this is supposed to be coming with FW2.0)
4. More than one attachment per email I create and send from the device
5. Hotlinking of phone numbers I put into the "notes" section of an appointment in my calendar. It is really annoying to put a client's phone number in the notes section of an appointment I have with them, and then need to call it, but I can't just press it to do it...
That's about it really. I don't care much about the MMS "problem" because I am capable of grasping how to do it through email. Video recording would be nice, but I haven't had it on a phone in a long time, and I don't really miss it. Anything else I want is bound to be added by third party apps, so that is my list...