Access to Diagnostics Agent
The diagnostics agent is currently an distant service from which you can only retrieve data by sending it requests.
What I would like to see is that I can subscribe to either queues and topics or directly subscribe to an event which allows me to capture the diagnostics data as it happens. I would also like to see a solid logging API which reports directly to the diagnostics agent rather that to a custom data store. This allows me to to get unified diagnostics info which covers server, service and custom code messages.
It also allows for 3rd party service providers to build monitoring services which also report your application errors in relation to anything else which happend on the instance.