I want 24 hour battery life, and for no good reason. The 12 or whatever it is now on most models is fine, but there's something cool about being able to play for an entire day non stop. And with the new Li-Ion Polymer batteries, it's getting easier and easier to pack in the power. Or do like the NJB3, and have two batteries. But that'd increase size.
Another thing I want is format support. MP3 and Ogg Vorbis, obviously, (I could care less about WMA, but might as well include it) as well as MP4 and FLAC.
Also, on the fly playlist support. I'd love an iHP-1x0, (and will likely get one unless something better comes out) but it irks me that I'll have to create playlists beforehand. What if I decide I want to hear Metallica followed up by Elton John?
Oh yes, and wolfen68 has an excellent point... 802.11x support would be awesome. G would be the best current one, methinks. Backwards compatible with B, which is the most common one. Although it's still a sight slower than USB 2.0 or IEEE1394. Well, they could still have those supported too. But for just grabbing a track from a friend, or for playing on a stereo, wireless would be scwheet. (NOT an FM modulater, mind you, wireless internet. Make a little dongle you plug into the line-in on stereos or something)
(-:Stephonovich