Settings would be great. Ability to select WiFi network, turn bluetooth on and off, turn 3G on and off, but most importantly, a quick and easy way to adjust the brightness.
I want notifications to clear when I've read them elsewhere. Such as Facebook (though it's their end that needs improving). For some reason, even with iCloud email, if I read an email on my Mac, it still shows up as unread on my iPhone most of the time, until I load the Mail app and it updates. Got push on and pull set to 15 mins. It's always been like that, even with iOS 4 and MobileMe.
I like the concept of widgets, but would rather have them on the home screen as well as in the notification centre.