Control over procedure cache
We are still waiting for more control over procedure cache. Adam Machanic wrote up this blog post highlighting a Connect item which he opened in 2007. It is currently closed as "won't fix" but it's been shown time and time again that in some cases we need this extra knob.
More flexibility for filtered indexes
This Connect item asks for the ability to create a filtered index on a persisted computed column, particularly when the column is deterministic. I'm after even more simple things, like the ability to reference other columns (e.g. WHERE col1 > col2); not possible today. Filtered indexes could be an extremely powerful solution to a lot of problems, but right now the limitations are a hindrance.
Books Online => PDF
A while back we half-joked about publishing a version of Books Online for mobile devices such as the iPhone or Blackberry (there is a Connect item for this). But something that would get us much closer to that reality without a whole lot of custom application engineering would be to publish Books Online in PDF format, since just about all smart devices these days can handle the PDF format in one way or another.
Better history for central Policy Management
Here Jorge Segarra (@SQLChicken) points out that, while history is maintained for policy evaluations made directly against a local server, there are no logs or other history records for policies evaluated using a central management server.
UI usability testing : why aren't we doing it?
In general, all SQL Server UIs need to be tested with large fonts, at all supported resolutions (e.g. 800×600), and Windows-supplied color schemes such as High Contrast Black. There should be a VM along the test path of all UI changes that represents the worst case scenario (high contrast black, 800×600, large fonts). Here are four Connect items that highlight this need (I'm sure I could find plenty more if I tried):