We have a lot of things we can skin already, but in my opinion, I think we could use some more. For example, why not custom fonts? I know Peppy has stated that it'd never be implemented, but I feel like it'd be a really good feature. It'd be set up like this: you'd drop a .tff file in the skin folder and write a line in the skin.ini to make it work. The user would have an option to use the default font, of course. I don't get why he said he wouldn't add it, honestly. It might be for security purposes or something about the game not functioning properly, but it would really be a nice feature. Since it'll never be added, I'll list some more things that should be skinnable.
How about...
Anyways, this is most likely a duplicate, and if so, I'm sorry. I don't think that some of these have been asked, though, so hopefully they haven't. I hope one or more of these features can be implemented in the future, it'd make every skinner's day ;u;
How about...
FPS Counter
The FPS counter doesn't really blend with a lot of skins. It's meant to be subtle, and it is with some skins; but if you're using a skin that won't go well with orange, which a lot of skins don't, it won't look good. It'd be easy to skin: you know, just a rectangular or elliptical box with the word FPS somewhere and boom.
The Cookie
This one is questionable, but if you're thinking "we don't needa skin that, it's the cookie, after all! >:v" read this. The cookie shouldn't really be skinned in most situations, BUT if your skin is very differently themed than osu!'s style for it is, it'd be very awesome to be able to skin it. A skin I can use as an example for this is "Magma Cavern." It's a really cool skin that's based on, obviously, volcanoes. The skin actually skinned almost everything and it was beautiful. However, the cookie did not fit with it at all. It tried to skin the cookie in the song selection menu, but when it was hovered over the original was visible. It would be very cool if we could make a file with the same dimensions and a cutout space for the name of osu! to replace the cookie. It might be a lotta work to program but it'd be very worth it. (pls peppy we need this)
More text
This one's simple; just let us skin some more text. We can skin the numbers, so why not skin some more stuff? For example, the menu buttons. (when you click on the cookie) I'd love to skin those.
More Noises
We can basically already skin pretty much everything involving audio, but we're missing some sounds. Like the sounds made when you back out of some options. I haven't seen this skinned before so I'm assuming you can't. Or maybe it's just difficult to do so.
User Panel
I probably called it the wrong thing(?), but I would absolutely love it if the layout of it were skinnable. It sometimes won't fit with the a e s t h e t i c of a skin, so maybe we could add an image for it. Like a square or something with the space for the pfp and stuff. I'd love this so much-
More of the Footer
This one is probably confusing, but can we possibly ever change the look of the bottom of the song selection area? We can skin the buttons and everything, but not so much the area that's not buttons. 
Anyways, this is most likely a duplicate, and if so, I'm sorry. I don't think that some of these have been asked, though, so hopefully they haven't. I hope one or more of these features can be implemented in the future, it'd make every skinner's day ;u;