I think my big request right now would be a way to do a conditional bootstrap in code. Admittedly with things that are basically the addition of an Edge or Hindrance you can try to code in the effect of that Edge or Hindrance in a conditional statement, but some things just can't work that way (like bootstrapping a skill or otherwise making the Edge/Hindrance show up on the character sheet in the usual spot.)
EDIT: I think we have a better idea from a post by Mathias about why this specific thing above would not be workable in HL. So please ignore it. We need to work from boostrapping things and then conditionally ignoring them rather than being able to conditionally add them.
I'd also second that a combat rating calculator might be nice. I would only add that it doesn't have to get too down in the weeds on those calculations, though, as a ballpark figure would probably be good enough.
Way down on the pie-in-the-sky wish list would be for a nice way to modify the printable character sheet. Custom output is ok, if more than a bit obscure, but even with some XSL tools I'd been messing around with it has been tough to set-up anything decent looking with the information I wanted to put on the sheets. Definitely not something I think is even remotely easy to put into something like Hero Lab but you did ask for what we'd like to see in the program, after all.
EDIT: For the character sheet part of this request I didn't realize that we already had that available by just taking the dossiers.dat and sheet*.dat files and changing them into .user files. I used that method to make an Extended Character Sheet (just search the forum if you might be interested) using that method. And many thanks to Mathias for pointing that out!