My Sticky Threads
 

Sort of like a 'favorites' kind of system.
Allow users to sticky any thread they would like, and it then appears at the top of that forum until they unstick it.
It would only show as a sticky for that user.:)

Either call it "My Sticky" or something along those lines and have it show sorted in with the existing stickys (sorted by date), or have it show under the regular stickys, but above the normal threads.

And this next feature has probably already been suggested before but: favorites. Be able to favorite any thread, and have a 'favorite thread new posts' feature where you can easily find when there is a new post in a thread you have favorited.
OR have a new posts feature for subscriptions that's easy to find/use.