An options market would be nice.
It'd be excellent if it had a user interface for non-technical merchants to buy put options. For instance, a merchant enters a date in the future. It gives him a guaranteed exchange rate for that date and payment instructions for buying the option. He can then quote this exchange rate on his site and unload the coins for USD when the date arrives.
Currently, exchange rate volatility risk is hard for merchants to swallow. I suspect that many merchants won't pay a developer to automatically sell Bitcoins on one of the major exchanges after each transaction. They'll want to accumulate coins throughout the month and sell them at a fixed price in one large transaction.