Yes, Keyboard shortcuts can be very handy, can can speed things up, I use them all the time. But, you can get very swift with the mouse too.
The main ones I'm looking for are the remote File Type listing and the grid. I like the grid because it makes it easier to visually align the file listings with their properties on the right (size, type, etc....).
Although the toolbar buttons for Transfer mode and Site Manager would be nice, too
As for the Explorer Integration -- hey, that's what the local file browser is there for anyway