Personally, I am very very fond of Avant Browser (
http://www.avantbrowser.com). It's a completely free IE shell with several features that I've come to rely on.
Here they are in no particular order:
1) Pop-up blocking. IE has this now, but didn't when I started using Avant.
2) Ad blocking. Can be done manually for IE by editing the HOSTS file, but that's not exactly user-friendly

Of course, this I think is the least likely to be added to IE... as Ads are in many cases a legitimate money maker for web sites.
3) Tabs. When I discovered that I could middle-click on a link and have it open up in a background tab, I fell in love with Avant. Before Avant I would have to right-click, select "Open in new window," and then alt-tab back to the original page.
Avant's tabbing system is especially useful for forum browsing and research.
4) More menu customizeability. My monitor's resolution is 1920x1200, and I like having my Back/Forward/Stop etc. toolbar at the upper left, with the File/Edit/etc. menus to the right of them, and the tab window MDI controls (maximize, minimize tabs, etc.) on the right. ALL on the same line, though. With the address and search bar on the second line, and my customized Links bar on the third. I keep my tabs themselves at the bottom of the screen, just above the status bar.
5) Inline search queries. I can type "g robert scoble blog" into the address bar and get a google search for that string. Or I can type "d combustification" to lookup that word on dictionary.com.
And most recently, I've set it up so that I can type "kb 145629" to look up any KB article by its number in the MS knowledge base. This has become a great way for me to look up the details of a particular hotfix.