Mine are:
1) Safari crashing all the time is one big one for me. Also as I mentioned before, when you click a link that opens a new window, closeing that second window puts THAT link back on the first without being able to go back to where you were at. I notice that alot on news sites. Also Flash support!
2) As someone else mentioned, you can't lock the horizontal/portrait mode while in bed.
3) I wish you could change the icon layouts in Itunes, would be MUCH easier that way.
4) The ablility to hide icons as others suggested and also make it so you can have submenus, for example: Games, Utilities, Productivity, etc.
5) Video would be nice.
6) Better GPS programs - I know, they are coming.
7) Not being able to view Xvid, Divx, Avi, etc. I hate having to convert first.
8) Not having one button to turn on and off, 3G, Wifi, GPS, and also make an Airplane mode (w/ Wifi) without having to turn on Airplane mode and also turn on wifi.
9) Battery life - I just bought an external 4600mah battery but who wants to carry an extra batter around.
10) Just thought of another one, the ability to turn on and off the damn airplane message every time you dock the Iphone to stereo devices. Just make it an option in settings: Show Message, Do Not Show Message, Ask.
11) Not being able to use themes without jailbreaking the phone.
12) Needs better camera software. Granted I have Photoshop CS 3 but even my old Samsung Sync allowed for exposure, lighting, darkening, B&W, Sepia, etc.