My HP35s programs

Macro

performs label substitution
performs named constant substitution
evaluates constant arithmetic expressions (perl syntax)
allows "local lables" 1H .. 9H (as described by D. Knuth is some of his books. No, seriously, it is awesome idea, why it is not implemented in every single assembler? I do not know.)
conditional compilation
normally unicode characters are used to represent weird command names with arrows and greek letters. There is an option to convert it into ASCII for posting on a newsgroups or whatever