Universal Gamepad support. This is like a must.
Resolution Support. With options that go every which way. Again, should be basic functionality.
Loading of Objects/Layouts/Scripts. Fun stuff. Like for loading say, characters in a fighting game or something. Or to load bonus content. Or whatever. Maybe a way to 'sign' files so people can't replace them easily with dummies?
Being able to script as text. I'd really like this one as many tasks would be easier as quick copy and pastes or 'replace all' edits. I know the graphical editor tries to do some of this but it never quite works. Being able to switch from graphical view to text view would rule.
Palette Support. Come on, we're using PNGs. I understand theres some headaches with the sprites being 2d planes in a 3d space, but that shouldn't be that big of a deal.
Multiplatform of course.
Creatable data structures for storing sprites, sounds and the like in descrete little files instead of having a blown open directory laden with spoilers and cheat potential. Also good for working on the same project with multiple people.
Theres a few other things I'd like (the aiblity to define several collosion masks for example per frame, or more advanced 3d support for backgrounds and effects), but this is the stuff I think is the most important.