I'm cross posting this from the X5 wishlist because I'd much rather see these in X4. The sooner some of these get changed, the better.
Some off the top of my head:
1) Better (and on the fly/drag) time stretching algorithm.
2) BPM detection
3) Better video support
4) Free copy of Sonar x4 Power! (Scott should get the information he needs while in development so the book can launch with Sonar)
Edit: Actually, I'm going to take this one step further and ask that Cakewalk fund Scott to make a proper training video series with work files. One thing Sonar is really missing is a comprehensive training course that teaches you how to use Sonar efficiently. I look at sites like Lynda and MacProVideo that have very deep, complete training videos for DAWs like Logic and Protools (Heck the Essential PT11 course is over 9 hours long just by itself) where as Sonar only has very brief introduction videos available. Considering the learning curve Sonar has and the amount of control it gives the user, it needs to have proper educational material as well and considering the obvious gift Scott has for teaching (at least through print), I can't think of anyone better to do it if he'd be willing. Hell, I've been using Sonar for years and I'm still learning and figuring things out every day with it that I didn't know and quite frankly, should have known. If this were put up on the store for a reasonable price (I wouldn't expect it to be included with X4), I would snatch it up in an instant. Also, if it were sectioned in modules much like a lot of these courses are on other sites, it would make updating a lot easier because not all the information would change with every release.
Also, if you're going to add more third party softsynths, I would request new selections rather than the same ones that came in previous versions. iZotope, FabFilter, Omnisphere or ProjectSAM stuff would all be awesome (and wishful) plugins to add into Sonar Producer.