David Airey already mentioned one of my my two perennials, menl. The other is strUnicode.
Like Sergiy, I also have a few for Mata, the two highest on the list being namespace and an enhanced development environment (debugging now is pretty much limited to sprinkling the old printf("#2 Got this far!\n") or printf("Iteration = %3.0f, my_variable = %14.7f\n", i, my_variable) into the code). Bill Gould already mentioned StataCorp's plans for byte, int and long, so that's covered. I've encountered circumstances where the ability to confidently declare const would have been helpful, too. enum is pretty standard now, and it would be sweet to see it in Mata. But among this list, the most acute need I feel is for namespace.
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