This list has been compiled and will be periodically updated based on the numerous suggestions received and some of my personal preferences and ideas.
The items are listed in no particular order, but I tried to group them in 3 main categories: AIRCRAFTS, OBJECTS and GAMEPLAY. I decided to publish it as a guideline for my work (and hopefully the work of other people interested in these tweaks).

I welcome all feedback on this wishlist; if something you would like is not included please email me.

DISCLAIMER: I have no idea whether I'll be able to make all or part of this modifications! Wish me luck ;-)
1) Contrails: long wispy contrails triggered by altitude, and short contrails due to pulling high g's
2) Exhaust fumes: the exhaust fumes during the engine start sequence are very nice, it would be even nicer to have exhaust fumes in flight depending on throttle settings or wep (also exhaust flames visible at night)
3) Cockpit damage effects: things like canopy/cockpit bullet holes, oil from a damaged engine, etc. hopefully visible in virtual cockpit as well
4) Pilot kill feedback: graphical or sound effects related to pilot kill/wound situations, currently modeled by CFS2 but not easily noticed by players DONE! Check here
5) Damage due to collision with parts falling off enemy aircrafts; I don't think this is currently modeled
6) Tracers: it would be nice to add smoke to tracers and possibly modify their color and size to make them more visible (also increase tracer ratio/change color if ammo is running out, like it was actually done, at least in the ETO)
7) Dust clouds on take off and landing from non paved runways, dust effects and smoke from engine when ditching
8) Progressive engine damage: apparently you can fly indefinitely with a damaged engine with no progressive degradation of engine performance (this should include a feature that stops warping whenever new engine damage appears)
9) Roll rate damage: even though tweaking the flak damage effects has given good results apparently it's still a problem if the "nose" is hit by an enemy fighter
10) Remove the yellow target brackets
11) Aircraft wrecks and smoking debris left on crash sites; longer lasting smoke and flames from crashed aircraft
12) Wakes on pontoons of add-on seaplanes
13) Enable AI gunner(s) on player aircraft
1) Muzzle flashes from AAA, whether land or ship based
2) More AAA effects without increasing the hit probability (for example by increasing tracer percentage and number of guns on ships)
3) Dust clouds for moving vehicles, and more varied damage effects for vehicles DONE! Check here
4) Longer lasting smoke from destroyed buildings
5) New damage effects for ships (for example magazine hits with large explosions, propeller or rudder damage resulting in inability to maneuver, damaged textures like bomb holes on deck, burn marks, listing after torpedo impact)
6) More classes of ground objects (ammo crates which explode mightily if hit, searchlights, oil barrels on fire (DONE by Nanni, check here) or other devices to light airfields at night, etc.)
7) Deck lights for night landings on carriers
8) Infantry that moves, shoots back with small arms and can be strafed (I guess this belongs to item #6, but IMO it's so cool it deserves separate mention ;-) DONE! Check here
9) Carrier decks populated with other parked aircraft
10) Longer and more complex sinking sequences for ships
11) Burning oil on the water after or during the sinking of a ship.
1) This may actually be a small bug of the program or of the mission builder, but it seems that non combat ships don't follow waypoints, and that some CFS2 vehicles don't move even if assigned waypoints DONE! Check here (the same fix makes the non moving vehicles work as expected)
2) Interaction between fleets and moving objects/vehicles of opposite sides (they should engage and fight each other)
3) Allow ships to sail only on water surfaces, and avoid ships sailing through coastlines and islands
4) More aggressive wingmen
5) Survivable ditching with lots of water splashing around ;-)
1) More pronounced "flash" in lightning effects
2) Enable [Cheats] without having to change the .cfg file and restart CFS2