You get three votes that could determine how long you'll be waiting for your favorite new feature!
I plan to implement all of these features eventually, but your feedback will help me to determine which features to do first. Here's what I have in mind:
Auto-play singlesAn option to automatically play forced moves. If you've played Freecell and seen how it finishes up the game for you automatically when there are only trivial moves left, you've got the idea.
ThemesDownload a theme or create your own and share it with the community. Customize colors, layout of the grid, and provide a background image.
Puzzle Pack ManagerDownload and open puzzle pack (.spp) files directly from your device (without having to download them to your PC first), sort and filter by difficulty level, restart puzzle packs, and remove completed puzzle packs to free up space. I will also add display of credits to the puzzle pack author and consider supporting zip compression of the spp files to save space.
More StatisticsPuzzle pack statistics (in addition to per-puzzle statistics) and lifetime statistics for each difficulty level.
Colored DigitsAn option to display each digit and pencil mark in a unique color.
Undo MistakesUndo the puzzle to the last point where it is solvable.
PocketPC VersionSelf-explanatory. I'll tell you now that this one will need a lot of votes to motivate me to delay new features that I want for my Smartphone to make you PocketPC users happy. If you really, really want a PocketPC version right now, vote with the PayPal button.

Otherwise, I plan to finish up most of the Smartphone features and then do a PocketPC version.
Puzzle Pack CreatorA Windows application that will import puzzles from the clipboard and various file formats and allow you to save them as a puzzle pack. Also view puzzles, rearrange them, and even merge puzzle packs.
Undo/RedoAn undo/redo mode where you can undo and redo your moves using the joypad, all the way back to the beginning of the game if you like.
Improved keyboard handling"Bump" at the edge of the grid, don't change the grid until the key is released (makes the "press-and-hold" functions less weird), and support joypad up/down in highlight mode.
Backlight always onHate the way the backlight keeps going out while you're trying to concentrate?
Pause game on idleEver forget to exit or switch to the home screen, to find out later that the timer has been running for hours?
Snapshot save/restoreSave a snapshot of the game state and restore it when you like.
Features I don't want to implementA puzzle generator, a hint system. (Puzzles that can be randomly generated on a Smartphone in a reasonable amount of time are usually lame anyway, and real Sudoku players don't want hints--or at least that's my story and I'm sticking to it.

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Well, I have a bunch more features in mind, but those are the most interesting that I plan for the near future. If you've got an idea for a feature that isn't on the list, post it!