It can't possibly support AirPlay until iOS 4.3 - i'd be surprised if there wasn't an update shortly after that's released.
First impressions are ok. Seems a bit more resilient than the website, in the sense of not dropping the video so much, and if it does it can usually recover again - with the website i often had to quit the video and go back in and find where i left off.
Downloadable programmes would be an obvious feature, and I (like many others no doubt) hope that will make an appearance once they're happy that the basic app is stable and popular.
I also hope that this may be a sign that the BBC may be working with Apple on an AppleTV app too, or at least shows they have something that would be easy to port across if AppleTV does get apps in the future.
David