I'd love to see more city/state data in specific categories. Each may or may not be rolled up to the federal level currently (I'm not totally sure).
So here's a list, and you can let us know if it's possible to get address-specific data for each one, or if the feds will always get aggregated, and non-address specific data, for these data sets.
Individual crime reports: seems to stop at the city level, then goes to UCR categories by Zip at the state level.
Traffic accidents: seems to stop at the state level.
Sex offender registry: stops at the state level, seems odd to me there is no national registry.
Property values (taxed value) of parcels.
Restaurant health inspection scores. Currently city level, though Yelp has helped create a national standard.
Political contributions - individual and company contributions to all political campaigns, down the street address level. I think the feds have this data, but I'm not sure where to get it in bulk.
Foreclosures
Recent home sales. I know this is tracked locally, but not much higher.
Building permits.
311 Calls for service.
Special Business licenses, eg, alcohol, advertising, pornography, etc.
I realize many of these datasets might have privacy issues attached to them, but they are all already released at least at the city level (and sensitive data is already scrubbed/fuzzed). I don't see an issue with aggregating them at the state/fed level, unless you are concerned with the federal government collecting too much information about its citizens, which is another possible issue.