Well as far as supplements go, there's plenty of adventures and class specific books out there. And I prefer to get my monsters from adventure supplements, so the encounters are matched accordingly with terrain, tactics, etc. Personally I never got much out of race-specific books.
I think the most noticable shortage is in, for the lack of a better word, sourcebooks. I'd like to see more material that is easily ported into any campaign that is not an adventure or statblock.
Most especially supplements for different climates and genres. I haven't run into a solid military-focused supplement for 4E, which is a pity because the gameplay is excellent for tactical combat. It would be awesome to have stuff like heroes of horror and cityscape available in 4E form. Naval/aerial combat supplements, planar adventuring guides, climatic sourcebooks, that sort of thing.
The next big gap is in DM building materials. The stronghold builders guidebook was huge in my camapigns, and I still use that 2e world builder's guidebook. It would be nice to see an update to those.
Lastly, I'd like to see more mega-campaigns. I'm talking about stuff that takes you 1-30. Even though I've never finished such a campaign before, they are still great material to read and mine for your own campaign ideas. However this would be a much lower priority than the previously 2 mentioned topics.
Also, I'd like to see more material that is specialized in either crunch or fluff. Both are important, but too often a good sourcebook is ruined because they try to fit everything into the limited pagecount and everything ends up lukewarm. (Which is my main issue with WOTC related supplements...and the main reason I turn to 3rd party sources)