Time for a long list.
Dual Wielding weapons. Small arms and melee. I really want to use a shishkebab with a machete or a 9mm, or even two other guns, probably as a perk that lets you do this.
An area with weather, they showed they can do it in Honest Hearts.
A pet creature that is not a dog. I WANT A FUCKING PET NIGHTSTALKER DAMMIT.
More higher level perks. They cap out at 30 in New Vegas, but I don't want anything like the Nuke perk in 3.
Companions for more than one faction. There are no real characters that I know of in New Vegas that are accepting of being on the Legions side.
Even more awesome DLC. They did a great job with all of the New Vegas ones.
A character more like the Lone Wanderer, as in one that is a completely blank slate, or someone with set past and has some people who are friends with him. I do hate how the Courier has a past that doesn't even come up. Sure you can say that he doesn't remember them because the hold bullet in head-itis, but still the fact that no one from your past shows up, when you probably lived in the Mojave, and no one but Ulysses has any connection to you and he is going to be in DLC only, kinda irks me.
The ability to be ghoulified or start as a ghoul.
There, that is all I can think of right now.
EDIT: I thought of another one. More morally gray quests.