Support for immutability, primarily.
It should be easy to create an immutable type and verify that it's immutable. It should be easy to use an immutable type - support like object and collection initializers, but for the immutable case.
After that: better type inference capabilities, tuples, pattern matching, and supporting libraries (again, immutable lists etc).
EDIT: I should say that I'm not a functional programmer, but I'm a C# programmer trying to learn more functional ways. I'm currently helping out (in a small way) with a functional programming book, so I'm learning lots of stuff there.
However, you will hopefully be pleased with LINQ. It does make life much easier for working with sequences of data.
