This list isn't prioritized or anything. Just a quick brain dump of the stuff I can remember that annoys me from time to time:
Mark completed in Big Box. There's menu items for the other flags, but not completed.
Logo priorities like we have for other image types. I'd like to be able to prefer Steam Banners and fallback to Clear Logos, for example.
Might be more of a DB thing, but I'm getting a ton of Japanese art in the root image folders instead of the region folders, so LaunchBox is randomly showing me Japanese box art when North American is also present.
Scrape non-steam game art from Steam when available. Having to do more work for GOG games is annoying.
Download game screenshots from Steam like we can with videos.
In Big Box, be able to assign one button to cycle between platforms, playlists, statuses, etc. Having to use separate buttons for each cuts into the limited number available on a controller.
Option to switch from background music to video audio when viewing game details.
Don't deselect all but one game after doing batch editing.
Allow remove from playlist when not viewing that particular playlist. Add to playlist pops out a submenu, why can't there be a Remove from playlist that does the same?
Separate image priorities in LaunchBox and Big Box. In LB, I'd prefer not having fanart in the background, while I might want it there in BB.
Remember last directory in pretty much all open dialogs.
Some kind of default options per platform for image types to download might be nice. For example, I never download theme videos, and want to download Box Art from EmuMovies for all platforms except Windows, because they all have a jewel case look that isn't consistent with everything else.
Less optimistic game name matching. For example, the other day, I had a game called "Knights" (not in the DB) matched to "Blood Knights". Very easy to miss these when doing a bulk import.
A way to clear all metadata from a game. When fixing mismatched games, I frequently forget to go into all the tabs.
Improve per-game DOSBox options. For example, having to use a complete custom config file to change "ems=true" to "ems=false" is really annoying, especially due to the next item in my list.
Use DOSBox mounts and executables specified in LaunchBox when using a custom config. In my opinion, ideally a custom dosbox config should only need to contain the lines that are actually different from the default behavior.
When importing MAME roms, an option to combine parents and clones would be nice. Currently they can only be combined if the names match. It would be nice to automatically combine stuff like Pac Man and Puck Man, preferably with some kind of region preference option.
An option to import game metadata from Steam instead of the DB where available would be nice. The DB is frequently missing stuff like release dates and developers when the data is there on Steam.
Big Box option to use random game videos for playlists when no playlist video exists. The platform version of this option doesn't seem to work for playlists.
Also, #'s 1, 3 and 4 on lordmonkus's list would be great.
Also, also: This list got a bit long, so just want to offset that negativity by saying that I really like the program and it's completely replaced Steam as my frontend of choice at this point.