As a developer, I’d like to have more events to hook on. Sometimes I need to copy whole methods from the framework code to include new functionality. See my extension DbUrlManager for an example.
This causes trouble to keep the code updated.
As a user, the feature I miss more is an API-based installer. Using it, I could build an application installer and that would be the only installer needed. I have opened an issue for Rights asking for that, at http://code.google.com/p/yii-rights/issues/detail?id=43.