1) Make the PC app run in the SysTray instead of as a desktop app - or at least make that an option.
2) Make both apps stay running when you disconnect the phone. I want to put the PC App in my Startup Group (or set an option to run on Windows Startup) and never have to mess with it. And I want to (once the BB app is running) connect and disconnect my phone freely and have it behave just as if I was simply unplugging my network cable and plugging it back in (which, really, is what I would be doing). Having to restart both apps every time I leave my office (with my phone) and then come back is needless extra steps.
3) Add Bluetooth support. I've been using that with regular tethering when I just need a relatively short connection (e.g. just to look something up that I can't do via the BB browser). It's very convenient at times to be able to get online without having to take my phone out of the holster or hook a cable to it. Of course, using this option would need to have a way to manually initiate connect/disconnect (in light of my request #2 above). You wouldn't want it to automatically connect via Bluetooth every time the phone came within range. That's a guaranteed way to kill your phone's battery without even realizing it.