#2, virtual desktops.
If I work on a project and then want to look something up, or someone comes with an USB stick and I need to copy it, and open the files, I just switch the desktop. It's like you have one table full of stuff, then you go to a different table to eat your pizza, and then you go back to your work table. You don't put away your work stuff so you can eat the pizza, you just go to the kitchen table.
I could not agree more. Linux and OS X has this. There are third party apps that work quite well (thank you VirtuaWin!) Why MS does not build this in is beyond me, people have been asking for it since Win95.
#4 A good command prompt
I really hate the 1990 DOS command prompt. Can we please have a modern command prompt in the year 2012? A modern cmd prompt is: any true type font, any size also full size, completition of commands with tab key, searchable history of cmds, different background, different text color, etc. For an example of a modern cmd prompt, see Konsole (KDE).
Yep, Konsole is an excellent app. However, check out Powershell. I was disappointed that it still resembles the CMD prompt so much but resizing works much better, you can change font and colours, it has command completion with the tab key (even completes files and command options for commandlets), has history (arrows as usual) as well as a 'history' command, has ls, man, and other familiar *nix commands (my OS hopping fingers thank you for that MS, even if they are simply aliases) and many more useful features. Regarding the searchable history, this solution may not be as nice, but try 'history | select-string -pattern "foo"'. Lastly, they finally got the copy and past to a reasonable state... you can simply left click and drag to highlight and it is copied to the clipboard and then right click to paste.
I still agree that there are many improvements that could be done *cough* tabs *cough* but the Poweshell prompt is a large improvement over the CMD (aka DOS) prompt.