1. In the wallpaper slide show settings window, it would be nice to have previews of the pictures selected for the slide show so it's easy to remove any you don't want anymore or to see if there are some you haven't added.
2. Maybe an option to monitor a directory for new wallpapers and automatically add them to the slide show.
3. I don't know if this is possible right now or if it needs the composite extension, but it would be awesome if wallpapers could fade into each other like they do on Mac OS X tiger.
4. Just noticed this, I think it's a bug, but for some reason some images in that window show up as just the file name and some as the full path name.