Stuff I’d love to have: Option to set default overlay path. Setting default ROM folder by core. Setting to only show ROM files (filter by extension?) when selecting ROM, rather than also showing save files and save states. Option to set different overlays by core. Hell, all settings per core rather than global.
Ignore me if these have been discussed to death.
While we’re at it, it would be nice for options that have paths, such as shaders, to always remember said path where the desired files are. If I have a shader selected, for instance, if I go to select another shader, it will remember the shader path, but if I happen to take it off, and then play a game, then go back to select the shader, the path will instead default to the path of the last ROM I opened, rather than the shaders path. It’s a minor annoyance, since it means I have to manually look for the shader path again.
Just thought of another one 
Per-ROM overlays. Option that when enabled, looks for a .cfg with the same filename as the ROM and loads it instead of the default/selected overlay.