I've been using the iPhone since Friday when I picked mine up and I have noticed that it is missing some important features.

1. Delete All Emails – This is definitely needed. When I synced my gMail account, I had to manually delete 800+ emails.  iPhone ignored my gMail pop setting of only pulling emails from now on and not all old ones.  Tapping the trash can icon for an hour = no fun.
2. Calendar New Event Cancel Confirm – More than a couple of times, I have accidentally clicked Cancel after I finished typing up an event and the iPhone just throws it away without warning.  If you create and modify a new event, it would be nice if you got an "Are you sure?" dialog when you click cancel.
3. Calendar Event Location Google Map – I'd like to be able to have an Event location be a Google Map location or a current contact location. Being able to do a Google Map or Contact location lookup would be fantastic.  With all the other integration features, I'm surprised this one got missed.  Being able to save an event location as a Google map route would be even cooler!
4. Audio File Email Attachments Playable - This might be wishful thinking, but it would be really nice if you could playback mp3, wav, and m4a files that people attach to emails. You can open images, PDFs, Word Docs, Excel spreadsheets, why not audio files?  I understand they don't want people emailing mp3 files around, but when my roommate wanted me to hear this new track he was working on, I asked him to email it to me because my iPhone works with my Alpine car stereo directly and I thought I could listen to it that way.  I was disappointed when I couldn't listen to the mp3 he emailed me.  As long as you can't attach songs to outgoing emails on your iPhone, I don't think it's that big of an issue.
5. Select, Cut, Copy and Paste – A lack of being able to select, cut copy or paste text is a pain. I'm not sure how you would achieve it with multi-touch anyway, but it's definitely something I'd like to see.
6. Setting Songs As Alert Sounds – I'd like to see the ability to set a song from your library as an alert sound (like waking up to a song, for instance).
7. Settings Songs As Ringtones – I mean, come on. You can't download any ringtones to the iPhone anyway, so how does this benefit AT&T's ringtone market?  Let me make my own ringtone, put it in my iPhone and use it.  Or let me use my favorite song.
8. Games - Where are the games?
9. iChat -Definitely missing.  meebo.com crashes the iPhone after a couple of minutes, even on Wifi.