My most wanted feature (and indeed, the lack of this feature occasionally sends me veering in the direction of the competition, but always faithfully back again) is the ability to define different font sizes and styles for the various sourcecode elements - done properly, it can considerably aid brains that spend alot of their time processing code.
I am also very fond of the emacs paren-style which highlights the entire expression enclosed by the paranthesis/brackets/curlies - I find that useful even in languages not formulated using s-expressions. Would really make my day to see that in, I am apparently too lazy to cook up the presumably small amount of Slick-C required to implement it myself.
Some F#-support would also be neat - it's a shame that such a nice language is bolted onto that unwieldly behemoth otherwise known as Visual Studio. OCaml support would also be nice of course, but I think F# will become the more popular functional language over time, due to all the plugging that Microsoft are doing. Hard to guess there, but if supporting functional languages is on the agenda, F# wouldn't be all that bad a choice.