Klipper is currently in an experimental state. There are several features still to be implemented. In no particular order:

Host user interaction

See if there is a better way to report errors. Octoprint sometimes doesn't highlight an error (one has to look in the terminal tab to find the error) and errors written to the log can be non-obvious to a user.
Improve startup:
Provide startup scripts so that Klippy can startup at system bootup.
Improve gcode interface:
Provide a better way to handle print nozzle z offsets. The M206 command is cryptic to use and it is too easy to set the value incorrectly or to forget to set it.
Provide a way to temporarily disable endstop checks so that a user can issue commands that potentially move the head past position_min/position_max.
Improve logging:
Automatically roll Klippy log files. The default log file should have the current date in the log file name.
Possibly collate and report the statistics messages in the log in a more friendly way.
Possibly support a mechanism for the host to limit maximum velocity so that the mcu is never requested to step at a higher rate than it can support.

Safety features

Support loading a valid step range into the firmware after homing. This would provide a sanity check in the firmware that would reduce the risk of the host commanding a stepper motor past its valid step range. To maintain high efficiency in the firmware, the firmware would only need to check periodically (eg, every 100ms) that the stepper is in range.
Possibly support periodically querying the endstop switches and use multiple step ranges depending on the switch state. This would enable runtime endstop detection. (However, it's unclear if runtime endstop detection is a good idea because of spurious signals caused by electrical noise.)
Support validating that heaters are heating at expected rates. This can be useful to detect a sensor failure (eg, thermistor short) that could otherwise cause the PID to command excessive heating.

Complete the host based simulator. It's possible to compile the firmware for a "host simulator", but that simulator doesn't do anything currently. It would be useful to expand the code to support more error checks, kinematic simulations, and improved logging.

Document and test running the host software on a Beagle Bone Black.
Add documentation describing how to perform bed-leveling accurately in Klipper. Improve description of stepper phase based bed leveling.
Document the kinematic formulas in Klippy. Document how acceleration and jerk limits are enforced.
Document how one can tune the pressure advance setting.

Port firmware to more architectures:
Beagle Bone Black PRU
Smoothieboard / NXP LPC1769 (ARM cortex-M3)
Unix based scheduling; Unix based real-time scheduling
Support for additional kinematics: scara, etc.
Support shared motor enable GPIO lines.
Support for multiple extruders.
Support for bed-level probes.
Possible support for touch panels attached to the micro-controller. (In general, it would be preferable to attach touch panels to the host system and have octoprint interact with the panel directly, but it would also be useful to handle panels already hardwired to the micro-controller.)
The raspberry pi has the ability to cut power to its USB ports. This feature is useful for resetting micro-controllers that are powered over USB. It would be useful to have a high-level command interface in Klippy to request a micro-controller reset via this mechanism.
Possibly support printers using multiple micro-controllers.

Possibly use cubic functions instead of quadratic functions in step compression code.
Possibly support a "feed forward PID" that takes into account the amount of plastic being extruded. If the extrude rate changes significantly during a print it can cause heating bumps that the PID overcompensates for. The temperature change due to the extrusion rate could be modeled to eliminate these bumps and make the extrusion temperature more consistent.