From an average joe:
1. Tabs. And let them be dragged around (unlike the Safari tabs), and switch to a tab when a file is held over top of it. And let tabs be dragged out to create their own Finder windows.
2. The option to show a Path bar above a window's contents of the folders leading up to the folder you're at now. I know there's a button, but it just isn't as nice as a bar. Oh, and this way you could drag files to folders in the path bar without actually going to them. This would be especially handy when searching, to see where a file is located. The Finder has a VERY weak implementation of this currently, shown at the bottom in search results. Weak because it is basically just icons of folders.
3. The ability to use 3-column view to go to folders before whatever folder you're in right now (for example, if I switch to 3 column view in Movies, I can't go up a folder to my Home folder, etc.)
4. In list view, right-clicking on list headings should show all the column options, like in iTunes.
5. In list view, one should be able to simply click under the column field to enter comments, rather than having to go into a get info window.
6. In fact, the get info window should be merged with the terrific item info column that shows up when you select an item in 3 column view. Have a basic info drawer or something of the like to show all the basic info on a file that can't be seen in icon view especially, without having to Get Info. Maybe not a drawer actually - they're kind of clunky. Maybe have like a designated info section of the Finder.
7. Speaking of which, the info that IS given (for example, displaying available space on harddrives) does not update like... ever, and thus is horribly unreliable
8. Allow folders to be "hidden" so that they don't show up until the user chooses to show hidden folders. That way things like my printer Data or Microsoft User Data folders (which i have never in my life opened) wouldn't crowd up my Documents folder.
9. Holding down on the back button should bring up a drop down menu of where I've been last.
10. Let files be "locked" so that they can't be moved, renamed, etc. and have a little lock icon at the bottom of their icon preview (or are greyed out in list/3 column view). This way I know at visual glance not to move my Final Cut capture files when cleaning up a folder. Also cool would be to password protect any file with this lock.
11. In fact, it would be amazing if when you moved a file, the Finder kept track of it's original and new location, and when an app looked for something in that old location, it was automatically re-directed to the new location (altho I suppose Spotlight could make this easier).
12. Open and Save dialogues - let files be dragged to/from the Finder sidebar. Let files be renamed.
13. Labels - why don't they show up in the sidebar?
14. Add like an instant slideshow option to the action bar when a group of photos is selected. Ala the one shown from Mail in Tiger.
I know I've been bothered with other things, but that's my annoyance/request list for now.