It's generally accepted that Xbox Live's core user experience is better than that found on the PlayStation Network.  Having one set standard across all games makes communicating with your friends much less of a hassle (most noticeably when grouping up for particular games).  However, I still think there's plenty of room for improvement.  The following is just a quick list of simple features that I wish Xbox Live had.

  1. Message Previews - More often than not, when I receive a text-based message from a friend while playing a game it's usually a short 1-3 word phrase.  But in order to actually see what the message is saying I have to open up the dashboard, go to the messages tab and that's where I see the actual preview from the full message.  Why not just include the preview in the new message notification?  Rather than the notification saying "so and so just sent you a message" it could say "'Invite Please' - Friend's Name."
  2. Simpler Voice Messages - Voice messaging is the sort of feature that you use a few times because it's a cool idea and then realize it's too much work so you go back to normal text messages.  If you're playing a game it's hard to justify opening the dashboard, going to messages, selecting create new message, recording audio, then sending it to your friend.  It just takes too long.  Not only that, but most of my friends hate getting voice messages if they're in a game because not only do they have to navigate to the messages tab (see #1), but they also have to take the time to listen to whatever the sender is saying.  It sounds trivial but if they could add a sort of hotkey with the xbox jewel for quickly recording messages, and also add a prompt similar to "hit the 'A' button to play" for incoming voice message notifications, it might be a much more attractive feature.
  3. Access to Sent Messages - This is a quick one.  There's nothing worse than logging into Xbox Live and seeing a new message from a buddy that simply says 'okay' or 'haha' or 'cool.'  What are they talking about?  I have no idea, but if I could see my sent messages I could find out.
  4. Seamless Community Integration - It's kind of annoying that for every game my group of friends decides to adopt we have to first go through that game's particular clan or team features to become associated.  Why not just work this into Xbox Live itself?  Steam does this quite well.  In Steam you can setup your own groups and invite users to the group without having to mess with individual games.  Steam also provides a handy homepage for each community group to see their latest activity.  Imagine being able to login to Xbox Live and browse a list of clans/guilds, see what games each is playing, and also sign up right from the guide?  Sounds like a good feature to me.
So that's my wishlist for Xbox Live improvements.