i think that a great feature would be to have the option of showing all HTTP/FTP/other protocol headers sent and recieved (like in a special window).
there should also be a window for all currently stored cookies.

some way to manually edit HTTP headers would be really nice also.

I definately agree on the ability to tweak headers or send specialized requests. Like for example sending the OPTIONS request method, or being able to utilize that stupid IIS bug (Translate: f) by just a minor tweak or two with the headers.

It would be a fun feature for web developers.