Things I'm wondering about:
* basic syntax help / autoindent
* red underline for indicating errors
* function autocomplete
* table and field autocomplete
* partial results streaming
* progress indicators
* table exploration (looking at a table catalog etc.)
* "workbench" where you can save multiple queries
* link to visualization tools
* link off to more powerful statistical analysis tools
...
For MySQL/compatible stuff, I still end up back on SequelPro though, because it's much "lighter", IMO.