When it finishes one command it would be nice if it listened for a few seconds for another one. For example, when I say Alexa, play classic rock, after she responds I could say volume 7 without repeating Alexa.
This would be one of my top three feature requests as well.
My number two feature would be to say a phrase and have Alexa/Echo pre-programmed to do something. For example, "Alexa, I'm leaving." Turns off all my lights, sets the Nest thermostat to away mode, etc.
My number one feature would be to schedule a command for the future. For example, I could schedule to have my lights slowly turn on, the temperature to warm up, and begin playing KSFO on iHeartRadio each weekday morning. Also, I could schedule Simon says to occur at a specific time, "Alexa, tomorrow at 4:30 pm Simon says 'Remember to call your dad an tell him Happy Birthday.'"