1. Codexes. It's really frustrating when you have an army that has not had a codex for ages (i.e. Eldar, Necrons etc.), not least as every time a new codex comes out for an army it's so turbo-charged (to encourage purchases) that it makes the older codexes harder to cope (i.e. the new Guard codex where you can field 50 Guard or something as one troop choice, 5 tanks per HS choice etc). I appreciate the logistics of this, but it would be nice if codexes could be re-balanced when new rules come out rather than just turbocharging the latest codex as a way of selling boxes of the latest minis.
2. Prices: GW is an expensive hobby to get into. I was in GW once and some kid came in with his granny and he wanted to get into it. The sales guy said 'well, you need Black Reach for 50 quid, basic paints and brushes for another 10-20, clippers for 7 etc etc etc'. His Gran said 'have you got any magazines he can have for free?' lol. The good thing is that you can buy (variable quality) minis off ebay, or new from resellers at a discount.
3. Support for Lord of the Rings SBG: It's a real shame that, now that War of the Ring has come along, GW aren't (according to the rumours) going to support the SBG any more. Of course, it makes more business sense to support WoTR (SBG 500pt games = not many minis sold but 5,000pt WoTR games = LOTS of minis sold), but, for my money, WoTR is a poor gaming system, aimed at uber-powergamers.
4. Bitz: One of the major barriers for me getting into conversion is the lack of bitz available. Unless I am going to buy job lots on ebay and try it's impossible. I recently wanted to try and make a Vulkan He'Stan conversion until I realised that it was cheaper to buy the mini than buy 4-5 different ones for the conversion pieces. I can't see the problem of GW stores stocking bitz that you can by individually for conversion. They don't like the idea of fans using bitz from other companies in their conversions, but often this is the only way
5. A 40K Film: I would also add that they need to get their act together and either make a 40K film or at the least remove the ban on the Damnatus fanfilm being released.
6. Rewarding Loyalty: GW need to also have some way of rewarding those who purchase from stores regularly. If I buy, for example, from Maelstrom Games online, I get the minis cheaper (10-15%), free delivery and money back towards future purchases. If I buy online from GW I get free postage if I'm lucky, and the stock is at the same price as the store. If I buy in the store I get nothing. I'm willing to stand corrected on this, but GW is perhaps the only store that I know of that doesn't have seasonal sales, 2 for 1 offers etc. The nearest we get with them is battleforces. Again, it reeks of bleeding the fanboys dry.
That's just my two-penneth...