One thing I miss is the ability to do different notifications based on filters / profiles set up. The Blackberry can do this by flagging certain messages as a "Level 1 Notification" and then you can set normal messages to come in quietly, but Level 1 messages can vibrate, ring, whatever you configure it to do. It's great to get notified when your boss or superior email you, but let the other 200 emails a day just collect quietly.
The other feature I wish existed is when I reply to a message on my iPhone, that it shows up in Outlook as replied to (via the Exchange ActiveSync). Without it, there's sometimes confusion whether I've replied to this or not when reviewing the emails on my desktop.