Yea, the included Calendar widget needs a pretty serious update.
I would like...
1) User-defined alerts, not the pre-existing "15, 30 minutes before", etc.
2) Categories, distinguished by color.
3) Better views. List view is horrible, I dont want to view EVERY SINGLE event I have listed in my iPhone. The next 7 days is all I need. Also, the month view could use some tweaking as well.
4) Icon support would be a nice feature as well. My Treo's Agendus software had this, which made the month view really easy to look at and figure out what you had going on that month.
5) To-Do's!
6) Ability to drag events to new dates for easy re-scheduling.