In general I'd like to see better security, some manufacturers don't even use session IDs in the router's forms to prevent cross-site request forgery.
I'd like giganet switches in ADSL routers, usb2 connections so I can network a USB printer and to be able to connect an external hard drive or memory stick so I can use it as a webserver/mediaserver with the PC off. It would also be nice if the router could be booted from a memory stick, so custom firmware could be tested without flashing the router.
I'd also like the source code for the firmware published so it can be adapted improved, and if necessarily bug-fixed even after the manufacturer ceases to support it.
I'd like better logging such as how much data each PC downloaded and uploaded and which websites each accessed and when (this data would preferably be stored to a usb memory stick or hard-disk).