I think client wise a simple balloon popup tutorial on first time startup would take the confusion away for those who have trouble getting the hang of how the clients work(i think this would also make some people rather use 1 of the clients then a website for their wallet)

Something i was wondering about why it was not in any of the clients(that i checked) was the ability to check the exchange prizes based on what exchange you want to get the info from eg mtgox or something it would make it easier to see how much you already have also if you where to convert it over into actual cash.
Just something that would save people time from having to go to an exchange to check how much their bitcoins are worth.

Or even a step further would be to be able to use direct an client towards mtgox then give it your api key and trade directly out of your client that would solve the having to use 2 places to trade at.