One thing that would really help is better documentation of the existing features.
I realize some of these are just dreams and some are outside of the bounds. I also know there are ways to do some on the things listed here (and probably some things that already exist but I am unaware of them). Just brainstorming...
Shaders:
Not being able to use DarkShader is a huge bummer. Either adding backward compatibility for PS1, 2, and 3 shaders or adding PS4 shaders to DarkShader would be super sweet.
Animated decals:
Greater control over playback rate. As far as I can tell, the only way to alter the speed of an animated decal is to change the frame rate.
Player control:
Greater control over the camera in general would be nice: being able to alter gravity, allowing for moon jumps (right now it seems the player cannot jump higher than a single level). Acceleration would nice. Obviously 3rd person would be nice.
Camera filters (whole game shaders):
B&W, cartoon effects, fish eye, etc, etc.
Wind simulation:
Imagine how awesome that would be....
Better built-in, in-game GUI Controls:
I'll have to think a little more on this one and what it is I really mean/want.
HCI compatibilities:
Kinect, Wii, Razor, etc. I know I am dreaming here.