Allow multi-select of pictures and videos: One of the neatest features in Windows Phone compared to iOS and Android is how you select multiple email messages/conversations. You simply click to the left of any email or conversation and it automatically switches to a multi-select screen where you can then apply actions to multiple items. It is strange that the Pictures Hub does not have a similar multi-select option. I can only act on one picture or video at a time.
Allow access to videos to 3rd party apps: Mango made it possible to upload videos to SkyDrive/Facebook, and made video sharing available in a limited fashion. All you could do is share the video via messaging or to Facebook and SkyDrive. 3rd party apps cannot let you select videos. In fact, even the email application cannot select videos (you have to go to the video in Pictures Hub to email it). This limitation looks like something which was left out due to time constraints, but it is something which should be possible.
Internet Explorer: The Windows Phone browser is actually quite fantastic, but I have seen lazy web developers displaying a sad default mobile version of the site because the code only detects mobile Safari for special mobile rendering. Microsoft should work with the big-brand sites and have their web developers work on getting mobile IE9 also to display the first-class mobile web experience. Some other features I would like to see added:
When sharing a page from IE, there is no text added in the messagebox. It would be nice if the title of the page is automatically filled in, so I could just press Send to share the page rather than have to add my own message every single time.
I find it annoying that the address bar stays visible always. It would be nice if the address bar becomes auto-hidden and can be made visible via a swipe gesture or something. It is strange that the IE team harps about taking the chrome out of the way, but especially on a phone where real estate is at a premium, they let such a big address bar stay visible.
I love the Safari Reader feature which is also available on mobile Safari. I wish such a thing came to IE as well.