Here's a few ideas for those with blistered hands and nothing better to
do:

SSL certificate verification:
We do establish SSL connections, but we never actually verify a
certificate!

HTTP/1.1 Persistant Connections:
The header often specifies the timeout value used for connections.
Close the connection ourselves when the timeout has expired. That way
we don't loose time sending stuff to an already closed connection.

Rating(s) support.  http://www.w3.org/PICS
This might involve an external program to parse the labels, and something
to configure access.

WebDAV support.  MSIE5 calls it web folders support, and a similar
approach would probably be a good idea.  Perhaps with an exists()
function.. one could tell if an http url was part of a WebDAV collection..
and this could be used for some kind of integration with kfile... to
provide seamless integration.  Uhm, also, this might entail an external
program (xml parser and such).

"Friendly" error messages.  How often have you seen a useless 404 message?
Again something I first notied in MSIE5, and that would be some sort of
translation of what an error really means.  Yes this would have to be
i18n'd and easily turned off.  But this could also be extended to all the
slaves (ftp, pop3, etc, etc).
