SCPM: Being able to save anywhere, anytime.
Anachronox
You have fixed "save points", but they also included an option in the settings to be able to save anywhere.
dtgreene: The option to replay a specific section of the game. Many shmups do this, but I would like to see this in other genres as well. Being able to replay a favorite RPG boss fight without replaying the entire game would be nice.
Shadowrun Returns
Every save has a "rewind" function that allow you to go back to any significant point in the adventure of your character.
Navagon: Unit carryover in RTS games. RTS games often have units that gain experience from battles and can become quite powerful by the end of the mission. So why then start over from scratch each and every mission with inexperienced units. This is further compounded when you can actually research and design units.
The Battle for Wesnoth
When playing a campaign you can both recruit new units (cheaper) or recall experienced units from the previous scenarios (more expensive, but well worth it).
dtgreene: Custom difficulty settings, like in Dungeon Hack. Maybe I want the game to be hard in some aspects, but easy in others. This is particularly true for games where difficulties affect lots of things.
Pillars of Eternity
You have access to a lot of difficulty options to really customize your experience instead of the more classic Easy/Medium/Hard most games use.
HereForTheBeer: The "aww, screw it!" option in linear campaigns that allows you to skip a mission. You've tried and tried - and tried some more - to get through a particular mission but you just can't crack the nut, and so you're stuck. Four missions in and your game is done, with the other 20 missions unplayable.
Deponia
Most puzzles have an option to skip them that unlocks after a couple failed tries.
Falkenherz: Automatically open the character menu when a character leaves the party and allow me to strip the parting character of everything I might still use. And if they should return to the group, I can simply reequip them.
Warcraft 3
When a hero quit your team during the campaign you’re given back all of its items at the beginning of the next scenario.
Martek: Pause and give orders in real-time strategy games. My mind seems to be getting slower as I get older lol, and pause/give orders allows me to enjoy real-time strategy games I otherwise would have to pass on.
Warhammer 40k: Dawn of War
You can pause the game with a single key press, and give combat orders to your units, order a builder to launch the construction of something, queue some units in your production buildings, etc.
Sabin_Stargem: Recently playing a game, I found a feature that I like: Consumable items are only consumed for the duration of the mission, but are restocked after it is completed. This means that consumables are equipment that have limited uses in the field. Great from an inventory management perspective, as you don't have to fiddle around with inventory or buying extra uses.
Path of Exile
Potions get emptied when you drink them for their benefit, but they fill up again (slowly) when you go back in a fight.