I've always wanted to have a constant shell open in the background. All one would have to do is type the app name and it would start instead of finding it in the menu or opening a terminal starting the app and then closing the terminal. It would show what you are typing in an overly on the screen top right corner or something as you typed it and fade out if you stopped typing fore more than X seconds.
The only other thing I've been itching for is more movie like GUI's. It's just eyecandy, but it makes things so much more fun and exciting to have slick looking apps/WM/DE. IMHO only Enlightenment has really done that in terms of a WM.