I know some or all of these have been suggested in other posts here (and probably in Toady's list of features to be added), but I'm adding them for completeness of my personal list. I welcome feedback and discussion.
1. Consistent list interface (fast scrolling, categories). It would be nice to have a consistent navigation system across all lists that appear in the game. Using page down for some lists and * or / for others is aggravating. Adding categories as collapsible trees would be an excellent feature as well, especially if you can tag entire categories in addition to single items.
2. Ability to cancel from the embark screen. I've picked the wrong spot before and it won't let me back out once I've started to embark. It's a small thing, but likely easy to fix.
3. Standard loadout for embarking (savable/loadable outside of init.txt). As it says, being able to configure your starting dwarves in specific ways and save that configuration as a separate file would be an excellent feature.
4. Mouse dragable mining designation. Being able to drag boxes for mining (a la Dungeon Keeper) would be a fantastic improvement. Viva la mouse!
5. Z-level movement via mouse wheel. Scrolling up and down through Z levels using a mouse wheel would be excellent as well.
6. Creature/item selection via mouse. It would be nice to be able to click a dwarf or critter instead of messing with keyboard targeting. Maybe make it the same as choosing them with 'v'.
7. Ability to flag a target as kill on sight. Flag that nasty kobold thief as KOS and every dwarf who sees him, whether they are military or not, will begin delivering a world class asswhooping. Saves you the hassle of having to form squads and then disband them all the time if you don't have a standing military. Plus it's just quick and easy.
8. Red alert mode where everyone goes on the offensive w/rally point. Similar to number 7, except you don't have to flag anything, your dwarves all go berserk on any enemies nearby. You could also work it as an aggressive crowd that rallies at a specified point if the crap is REALLY hitting the fan. 75 dwarves beating a dragon to death with their bare hands anyone?
9. Ability to set a mining flag whereby every mined stone is flagged for dumping. It would surely beat having to manually flag 99999999 stones for dumping.
10. Quick room construction sets a mining job and then drops a workshop build order there after the mining finishes. Again, it may not be possible given the current queuing system, but it would be sweet.
11. Better military interface (not as confusing). Right now the squad menu + the 'm'ilitary menu are just...confusing to me. Adding and removing folks from squads, promoting them, configuring weapons...it is all pretty unwieldy. There has to be a better way to lay all that out and make it more accessible.
12. Stairs/ramps should be in the building menu. Personally, it makes sense to me.
13. Merge zones with designations. They really seem to be the same thing to me. I don't understand why they sit on two different menus.
14. 'x' should let you see a list of all squads and zoom to them, instead of only those on the screen. Tracking down the leader is very troublesome.
15. Ability to micromanage what is inside a container(dump/empty). This may already be possible, but I just don't know how to do it since I'm a n00bler.
16. Ability to save/load custom skill sets for dwarves in-game. Especially useful in the early game when I want everyone to do everything but fish and hunt pretty much. Useful later on when you specialize as well.
17. Ability to change job priorities, flag specific jobs as do immediately. This would be useful beyond my ability to express.
18. Ability to cancel specific jobs/groups of jobs in the job list. Again, it's a convenience thing.
19. Make engraving less hideous on screen. Maybe it's just me, but engraving a room makes it look horribly cluttered and quite hideous. It offends my sense of aesthetics.