Opera is a very well designed browser and Internet suite but its still missing some little and big things, such as:
1. Downloads acceleration - Metalinks, segmented downloads whatever it takes, Opera should be really fast on all fronts.
3. Progress bar for uploads - Eg: To X-Drive, Yahoo! Briefcase etc.
4. Extensions / Plugins.
5. SOCKS proxy support.
Last two are biggies but goodies, history seems to be repeating itself, for years Opera wasn't free, when it went free it got great press and lots of people converted, but now its about extensions or addons issue. People at Opera are either just too stubborn or just too scared to adopt extensions and release an API, as it might make opera less secure. Even if its just to shutup Firefox fanboys.