Would be nice: No Java requirement.
Would be nicer: No .NET 2.0 requirement. At the least, people should start doing what nuhi over at nliteos.com did with nLite; packing a tiny (compared to the install size of .NET 2.0 (over 140mbs) archive with the required library files so the program works without installing .NET onto your system.
Also, a progress bar of sometype (with an ETA too, perhaps?) would be most appreciated!
Edit: Took out the original feature request... was already implemented. Oops!