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Improve script and content blocking
I'd really like to see FF AdBlock Plus style content blocking so you have more control over whats blocked. For example, I use facebook but don't want them sharing data with me on with other sites. ABP has a way to block facebook on 3rd party sites.
The ability of FF NoScript to pick and choose which scripts to run would also be a nice addition to opera. Noscript also allows you to do handy things like block META redirects in the NOSCRIPT tags, block embedings like flash until you decide to play them, and block XSS.
I think both these would make Opera much more secure and private.