Trying to collect here the various improvements requests been posted here and there in the forums. This is the basis for a make it happen run for 3.4 if enough people are behind these. Feel free to add links to forum threads, the bulk comes from http://forum.civicrm.org/index.php/topic,15702.0.html.
Replacing the wizard with a tabbed interface, like it's been done for CiviEvent. This would make it much faster for instance to come to a previously saved mail without having to go through all the steps.
Instead of a separate page, add the testing at the bottom of the compose page ( and schedule page).
split the layout related (header/footer) into a separate tab than the composition ? (with the testing function part at the bottom too).
For the end user:
Reports being "real" reports, ie actionable (select all the contacts that opened/ bounced/ clicked on mailing X and do something with them). Might be mostly covered by storing bounces as activities (cf. below).
Having a mode that does work with mail servers not handling catchall/plus notation. ie. Exchange. (and/or being able to use the sender as the email that gets the bounces). (technical: Time to test if the X- header is a viable alternative to VERP ?)
Add the bounce email as an activity to the contact (so you get the full message to know when and why a contact is on hold).
Now by default if unknown bounce the action is to flag the user as on hold. Should be the other way around (and the unknown bounce added with a "scheduled/unprocessed" status to the contact)
Being able to set a maximum number of mails sent per hour (throttle)? (personally think providers enforcing such limitations are unfit to host civi, but been requested).
Being able to add new recipients (individually) to a mass mailing on the top of the group(s) selection (eg. send to all the board+ John Doe and XXX without having to create extra groups).
Flagging somehow (eg. a tag or status) the contacts that have registered online but not confirmed. Populate the source so you can see where the contact come from ("online registration " +group).
Have an online readable version of the newsletter, with the link being easy to add (token) at the top of the mail (click here to read it online...).
Being able to embed images (at least for images in the header footer) instead of having them external always.
Integrate better with CiviEvent, and being able to send an invitation (eg. tokens event.* for the title, intro, event and registration links, ical as attachment
(not sure if it's a new feature or one I don't know about): being able to unsubscribe to group(s) instead of opting out at the contact level