Ability to UNDO not only actual changes to objects but also selections
Basically what title says.
Now if you select multiple objects and mess up your selection (accidentally deselect everything, select something that you do not want etc.) you have to select everything all over again (or carefully pick out unwanted objects). And there is no option to undo that.
In applications such as 3ds Max, for example, you can do that — undo history counts in every act of selecting and deselecting, even for individual vertices.