I use Antex irons, they are simple and reliable for hobby use.
The features I like for an iron are:
1. Good selection of long lasting, cheap, strong,easily removable, interchangeable tips.
2. Compact, lightweight with thin, flexible lead.
3. Having it fit securely into a desk stand with built-in sponge.
4. Low electrical leakage for working on sensitive components.
5. Availability of different sized models according to wattage - I mostly use a small 18W type with a fine bit. But sometimes use a larger 25W model with a much larger bit.
The things that could be improved upon or added to a hobby iron are:
1. Heatup time. My newer irons seem to take much longer to heat up than my ancient, lower wattage type of the same make. Perhaps some modern materials in the heater element are not so efficient?
2. Automatic turn-off. I often forget to unplug it - some motion sensor based turn-off device could be useful.
3. An LED indicator to show that it is on - When you own more than one, it is easy to get them mixed up, so a power indicator would be useful.