I have bought quite a few of the books in the 40K RPG line and I do love how things have been done with the system (especially a lot of it was tested in WFRP 2nd ed). However there are a few things I'd love to see done.
1. A core rules book would be nice. Give the general rules in one central book (give the crit tables, how skills work, how the career paths work, etc in one central book)
2. Give specifics in supplements. Have the Dark Heresy book give specific careers and character creation rules for Inquisition acolytes, do one for Rogue Trader, etc etc etc
3. Don't limit it to humans only. In the current Rogue Trader book there are options to play either Orks or Kroot. Why stop there? Have a book for a campaign to let people play Eldar, have something where people can play Tau or Vespid or Kroot all in one setting, I will grant Necrons will be hard to pull off but most of the other races are possible.
4. Don't be afraid to have races stand out in some way. Tau have minimal warp presence and are great with ranged weapons, Eldar move fast but tend to be glass cannons, Space Marines are very strong but don't come across as being very nimble. Let stuff like that happen, let each race have their strengths and weaknesses throughout the game system. It makes people think a bit more about how to approach a situation.
Those are the main points I'd like to see covered, at the very least point 3 would be the one I would love to see most of all.