I appreciate all the comments that have already been made. Some of these suggestions are duplicates, in which case consider them seconded, and others haven't been mentioned, yet. They are not listed in any order:
- Interactive output (ex: hover over truncated variable name and see full variable name and see the label)
- Longer variable names and macro names - it may be cumbersome for some output, but that's the risk of those who define them
- Unicode support
- Parallel processing for large datasets (ex: George Vega Yon's parallel command is a good starting point, but getting this officially supported would be great)
- Update to the FAQ that provides comparisons of related commands and which ones are faster
- Increased tab size (no more "too many values" errors)
- Preserve labels and notes following collapse
- Transparent option with graph output
- Quietly graph and export images as pngs (see http://www.stata.com/statalist/archive/2012-04/msg00709.html)
- Estimated time to completion of commands - have a minimum time that it doesn't show up (such as anything less than an estimated 2 minutes won't provide an estimate), but if I begin calculating something large I'd like to know if it's estimated to take 12 minutes or 12 hours; I know there are lots of challenges with this, but even a warning that suggests a command may take a long time is helpful
- Built-in support for json data
- Formal support for spmap or, preferably, improved mapping support that will allow for map layer creation
- Support for larger data sets (everything Jeph Herrin and László said)
- More intuitive way of bringing in relational databases - maybe storing multiple relational databases in memory
- Save a subset of observations - ex: save xxx if x>2
- Save a random sample of observations - ex: save xxx, sample(.1)
- Use data but only import a subset of variables - ex: use xxx.dta, keep(x y z)
- Currency or financial formatting - think of having dollar values in the y axis or being able to output to an excel file already formatted as currency
- Better integration with excel - it would be great to be able to assign formatting to cells and worksheets and be able to insert excel charts from Stata (such as inserting the data on worksheet 1 and then referencing that data and creating a bar chart on worksheet 2); the majority of the business world functions with MS Office and automating the output would save a lot of manual cleaning up of generated spreadsheets
Comment