I took my Canon SX110 with CHDK on vacation recently and found two issues to be very annoying:
1) Improved Camera Startup
I couldn't decide whether to activate CHDK autostart (SDCard lock) or not because there are a lot of situations when fast camera startup is neccessary, for expample if you are driving in a car and have to get the camera ready very fast if you see something interesting along the way. In this case you only want to press the power button and not the play button, wait till CHDK loads and then press the shutter button to put the camera in record mode. On the other hand having to load CHDK manually every other time becomes annoying too.
My suggestion: At least on those models which have seperate power and play buttons (not one power button and one record/play switch like A510 etc.), if CHDK autostart (SDCard lock) is enabled then pressing the power button should put the camera immediately into record mode without loading CHDK (maybe it's possible to keep the "Update Firmware" entry in the play menu so that you can still load CHDK later if you need to without having to shut down your camera?); pressing the play button should load CHDK and put the camera in play mode.
There is a conflict between the "CANON AF-Lock shortcut" Shutter_Half + Left, which can be used to switch from autofocus to manual focus with the distance set to the last autofocus distance, and the CHDK zebra mode shortcut. So with CHDK loaded but not in ALT mode, every time you use "CANON AF-Lock shortcut", zebra gets (de-)activated as well.
Another issue is the "CHDK Raw shortcut" pressing Erase while in ALT mode. With CHDK loaded, using scripts and deleting pictures, it happened quite a few times to me that I accidentally enabled the RAW mode, filling my memory card with .crw files.
My suggestion: the user should be able to choose which CHDK shortcuts he wants to activate, at least those shortcuts that are used in non-ALT mode and potentially conflict with CANON shortcuts.