Here's my list (probably more after I get more time with the phone):
1) Smaller screen size. I know - weird since everyone loves the big screen. I like the screen, but I can't reach all of the screen with one hand. A more reasonable size like 3.7" may work. I wonder how the Galaxy would fair at 4".
2) Better QA. The build quality is great, but little quality issues like the light seeping from the buttons to the screen are there. Mine isn't as bad as some people, but there really should be none. Actually, that seems to be the only quality issue, so still not a bad job, HTC.
3) Sense UI. Again, more of a taste, but I would like an option to have Sense completely out, as well as the ability to remove the Sprint apps. A Google Phone version of the EVO would be nice. Being Android, I would love the ability to flash different ROMs without the worry of an unofficial rooting process (like installing your favorite OS on a PC). -- PS: Changing the launcher isn't the same.
As you can see, I'm stretching here.

So on to some more realistic stuff...
4) Battery life - yes, smartphones are power hungry, but it could be better.
5) WiFi reception. I, too, am getting 1 to 2 bars when my other devices get full bars. However, I think it's just the phone reporting the wrong signal strength because using SpeedTest, I still get 3-4 Mbps on WiFi (which is about right for my ISP's speed).
I sooooo want a Nexus One after trying one out - the EVO is my first Android phone though. I love the camera/camcorder. oh...
6) Video should be in MP4, cuz not everyone knows how to open .3gp files.