I might drop "required" from the title as I've developed for Windows happily for almost 20 years. Of course, I've developed quite a good toolbox of utilities and tools. See Scott Hanselmann's list for starters. It's top notch and look back all the way to 2003.
BTW, Windows 7 includes PowerShell which helps with the "decent shell" comments.
That said, It's always good to have better tools built in. Take any of the tools in Scott's list.
Realisitically, MS could certainly improve the UI of many built-in tools such as regedit, task mgr (cf. Process Monitor) and the event perf viewer tools. It would be good to have built-in support for multiple clipboards. From OSX, I'd like expose and their multi-desktop support is good. It would be nice if Windows natively (aka more easily) supported dragging text from text boxes.
XCode really sucks IMO so I would not want that on Windows. VS is much better but not built-in so maybe build-in VS Expess with an ability to upgrade. Of course, the OS footprint grows with this (like OSX's does) so there's a downside too.
distributed gcc is very good so that would be very welcome as a built-in framework for any compiler to use (see Incredibuild for a VS solution).
It would be nice if it were easier to get and use a Checked Build of the OS to find issues. Using debug cables is a bit extreme for the good info you get out of the Checked Build. VMs may do this easily -- if so someone please comment with a link.