"Cancel" button on a "Please wait... working..." window.
Sometimes those windows won't go away for a very long time and you can't either minimize game or close it with Alt-F4. It's not nice to press Ctrl-Alt-Del, launch Task Manager and terminate WA process all those times.
Anton Kizernis commented
Just found out about Shift-Esc combination (for minimizing game). My bad. But the cancel button would still be nice, because sometimes it says "working" although you know for sure it doesn't... when lagging occurs etc.