Restore document/workspace on re-start - With a tick IE7 will restore open tabs next time you use it. Why can't all other applications offer the same for their files?
Close & Delete a document - Why make me use Explorer to find the file I've already got open just to delete it. MindManager allows deletion from the document tab, with an "Are you sure" confirmation dialog to avoid accidents. I just noticed SnagIt also has this for images in it's captures tray.
Open Containing folder - The application knows where the document is so make it easy for me to access that location, without resorting to Explorer browsing, like this!
Timed defaults for information dialogs - The brilliant Free Download Manager has a countdown on this info dialog. You get 30 seconds to select an option before the default is accepted. If the outcome is non-destructive why not do the same?