Now that Whidbey features can be freely talked about, I can mention my personal not-directly-C# feature: netmodule linking. Basically due to some hard work by the C/C++ compiler and linker team, any tool that can produce managed netmodules(/target:module in C# abd VB land) can be linked into a single-file assembly by the linker! You can now have a single file assembly witc, VB, C#, C++, and even native code all in one file! Theoretically you can even link classic static .LIBs into your brand new C# assembly (although I've never tried that specifically).
The big down side is that there is no way to do most of this inside the C# project system inside the IDE. The XMake team (is that's what it's still called? they change names faster than a chameleon changes colors), tells me that their extensible make files and builds rules should allow this, but I'm not sure how that would interact with the IDE's projects. I have heard that the C/C++ project system works decently when only small amounts of code are written in another language.
The main reason there's little to no IDE support is that the powers that be claim that the majority of C# users don't want or need to do this kind of stuff (they even have some data to back that up). So if this a useful feature, just make sure you're not the silent majority...