I think the obvious answer to this is the dance studio, which we know is still in some sort of development. Now granted we haven't heard about exactly what is happening in this front in a long while, but still, one has to have faith that it might magically pop up in patch 5.3.
Now that warlocks have green fire (assuming its not pulled back again), what is next that has been long requested or desired?
Besides the dance studio, I would have said the 11th character slot before MoP came out. But now that we have that, it's another major wish granted.
A larger starting bag would be another thing that's been long requested yet never delivered. In this regard there is a pretty steep technical problem that'd need to be solved first, which has to do with the way the inventory system was initially designed. While we don't know the specifics, it's been hinted at that the first bag size is essentially hard coded into the character records (again, hinted at, don't that this as 100% fact please).
That makes changing that first bag exceptionally difficult when you factor in the hundreds of millions of individual characters. I honestly thing we might never see a larger bag (and if we don't, with all due respect to the early WoW programmers, this should go down in the annals of programmer history as a lesson to be learned about making non-easily modifiable systems).
Another, albeit minor, feature that has been talked about but not delivered is female warlock pets. As a warlock I really don't care for this ... but I gather some might? I'd rather see more artwork done to upgrade the models and polygon count of existing warlock pets, without having to use a talent to get away from a clunky eight year old model fel guard model.
But help me out here, dear readers, there must be more things* requested or hinted at for years that haven't made it into the game yet.
*Emerald Dream isn't a valid answer, it was never promised as far as I can tell.