Okay, this is one that people talk about a bit on the WPMU forums, but don't seem to have done.
I would like to provide my users with a very simple admin interface.
I would like to pick exactly what they see, without destroying my 'power user' view for myself. If I don't want my users having access to comments options, RSS options, themes, or whatever else, I would love to be able to set that up.
My users don't need to see the same (or almost the same) admin interface as me. I wish I didn't have to spend days fixing this issue, but without a plugin it looks like I'll need to. This is something that Drupal does nicely that WPMU (and WP) seems really complex on.
As an added bonus I'd love to be able to carry over the same theme as the rest of my site, but this may just be a custom theming job.