My iPhone 3GS is almost there, Apple. Maybe one more generation should do it?
Wi-Fi: could appreciate 802.11n
Bluetooth: could open up all profiles, plus BT keyboard support
Camera: could go with higher megapixel and/or flash, and a second front-facing one for iChat or self-portraits (PLEASE!)
Battery: could use a slightly larger battery at the expense of increasing thickness or height, or newer battery technology
Display: could appreciate OLED for more vibrant colors and/or less battery usage
FM radio: if true, please include timeshifting like the Nano has!
LED indicator light: a no brainer. Why turn on and unlock just to see what's up?
Full voice support: to run applications, read email/SMS, interact with applications, etc.
My favorite:
Active instead of passive: scheduled tasks or push notifications to run applications automatically, could pave the way to automatically download RSS feeds or web pages, use your own alarm clock application, remotely control another iPhone, etc.