1) Folders !
2) Support for the Word and RTF files, if possible.
3) To be able to boot directly where you stopped reading, instead of having to go through the library each time.
4) The "Delete" button working.
Any of those would be nice, but especially folders...
Edit: I second julia on the ability to sort the books by author or date. And the + and - buttons on the left could be used when reading, to zoom in and out or to turn pages.
What would also be useful: a synchronization software for Linux users ! I keep hoping for Mobipocket to develop one, but so far, no luck.