For me the main outstanding issue that has been around for a long time now and, whilst I've learnt to work around it, I'd really like to see it solved - Heirachical tags i.e. the ability to nest or otherwise categorise tags so that you can use it as an alternative to the notebook categorisation. It is one of the oldest feature requests, remains a common and active topic (including offers - no comment on reliability or sincerity - for a bounty) and I know it was once implemented and reverted for various reasons.
In terms of my favourite feature I would probably say the new API for the note list styling, I'd love to see that level of UI customisation in other places like the notebook list.