A really nice feature would be an integration of LinqPad into Excel, a bit like Tsunami. I presume that it shouldn't be too difficult to implement with ExcelDna.

What would be really nice is features like being able to run Linq query against excel ranges, and if possible (like in F#) having auto-complete with column names.

LinqPad to excel (making functions available as udf in excel) is also nice but I think less useful.