Hardware wise, in my case I wish that the SIM was easier to eject, without having to have a paperclip or something handy. If my battery goes dead, a SIM swap gets me going in another phone. Or, right now, if I need to tether I can swap to a phone that supports it.
More flash would be nice too. My itune library is a little over 14GB so I don't have all that much free space on my phone anymore. I probably should just go to manually handling my playlist, but it is nice to just say keep it in sync.
Otherwise, software updates would be nice, either on Apple's side or 3rd party. 3.0 reportedly fixes some of the software level issues. The others are either in progress or unknown, such as a way to sync and edit word/excel files and something like Pocket Quicken that can be used on the iPhone and sync to/from Quicken on the PC. The Treo 750 I have does these, though I like the iPhone better for other reasons.