For me I want better control over how my shell records and stores history. I want it to record more and probably not in a flat text file. I don't want it to write commands that fail to disk but I do want them in my history so I can correct my typo and run again.
I'd like lines to be rewrapped if I change terminal dimensions. I'd like more automatic pagination (rather than forgetting to use less and nuking your scrollback). I think is an issue with mintty/putty but I'd like its command history to be printed correctly after changing the terminal width.
Pet hates: terminal bells that I didn't explicitly ask for; middle click paste; the obscure terminfo file that sometimes controls the features a program uses.