First off, the burden of competition is much less if you target a language other than Java. Java already has Eclipse/IntelliJ/Netbeans, all of which are pretty good. C++ has Visual Studio (Windows only) and Eclipse (which sucked last time I used it, but I've heard it's gotten better). Basically all IDEs for dynamic languages suck. IDEs for type-inferencing languages like Haskell or Ocaml could be really interesting, because you have a lot more info available at compile-time, but I haven't seen any that I liked. (Haven't tried Leksah though.)
The basic features that everybody relies on in an IDE, in rough order of how much they improve my productivity.
1. Autocompletion, including docs.
2. Syntax checking
3. Code navigation (eg. Ctrl-click to definition)
4. Integrated debugger
5. Refactoring
6. Syntax highlighting
7. Find-all-callers
8. File browsing
Also, it should start up fast and not have any noticeable delays when accessing functionality. IDEs that hang for 10 seconds while they pop up an autocompletion dialog bug the hell out of me.