"Tethering" which would let a laptop use a USB cable, Bluetooth or Wi-Fi to connect to the iPhone, and then use the phone's cellular radio to surf the Internet (you can do this yourself with a jail-broken iPhone.
Push e-mail notification.
Turn-by-turn directions.
Multimedia Messaging Service (MMS).
CNET's Tom Krazit thinks what he calls true background processing -- the ability to run more than one application at once. That's something the Palm Pre and other platforms do offer.