Math.NET Numerics
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Provide principle component analysis
Extend the linear algebra part with PCA using either Singular Value Decomposition or Eigenvalue Decomposition. Easy implementation, great value!
63 votes 
Add methods for linear and quadratic programming
Linear and quadratic programming methods are great techniques for minimization problems. Other, more complicated methodologies  such as MPC  can built on top of them fairly easily.
59 votes 
104 votes

estimate
I love the Estimate function on some of the distributions in the statistical namespace. Chould we try to expand it to be included in IDistribution or IContinuousDistribution and all distributions. I have the code for some more.
1 vote 
21 votes

1 vote
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