If you can't obviously find something that Salesforce does, just Google it - "Can Salesforce do X" or "X in Salesforce" and if you find it in Salesforce Ideas, you can almost guarantee that Salesforce can't do it, and the Ideas post exists for people to add their support to the list. I don't know how many ideas posts there are - well into the thousands, and each release Salesforce may fix some them.

Admin

Have the ability to delete or hide standard profiles.

Creating Objects

Mass Delete Picklist Values.
Global Picklist Values lists (to use the same picklists in multiple objects)
Name Value pairs for Picklists
Address composite Fields.
Name composite Fields

Page Layouts

Object Level Page Layout sections (this section is visible on ALL page layouts for this object, and editable in one place).
Object Level mini Page Layouts
Don't add fields to page layouts on the top left corner section - choose which section it goes into.
Feed layouts on ALL objects (eg Contracts).
Details tab on feed layouts shown first.

Quick Actions

Run Processes or Flows from Quick Actions without creating a custom visualforce page.

Records

Views

More extensive multi record editing.
View next record in the list (Microsoft CRM does this).

Emailing

Be able to email attachments on the record (you can in Case Feeds now). . See post on stack exchange for more details on this feature.
The Case Feed email functionality on ALL chatter feeds.
Be able to store the contents of an automated email on the chatter feed. (eg rather than those silly workarounds to create tasks to say you have sent an email, which takes up data storage. You MUST be able to have a record of exactly the email that was sent).

Text Editing

Quick Text available everywhere.
Rich Text and HTML Editors fixed!!!

Automation

Edit process builder processes rather than create new versions
Auto delete old inactive versions of processes and flows
Time based workflow log on process builder actions
Be able to create chatter posts on other records.

Chatter

Chatter to auto convert to the Opportunity when the Lead is Converted (there is a plugin see Lead Convert Chatter).

Leads

The ability to turn off Create Opportunity on Convert for different record types.

Reporting

Multiple data sets that are not related to be visible on the one chart.
Charts in views (like Microsoft CRM).
Frequency reporting for multi select picklists.
Easier Custom Report Types builder. (and have it accessible from the Report).

Report Types

Auto add new fields to custom report types

Knowledge

A standard setup for a Public Knowledge Base

Wishlist

These are things that I know Salesforce would probably never fix, but I still want.

Be able to change a formula into a non formula field.
Be able to force something in the time based workflow queue to happen now - for testing.