I agree with DoctorPadawan's #1 and #2 there; the POTF versions look pretty nice overall, and I love my Thrawn (I paid $10 for him after all) and Mara is near if not at the top of my want list, but it would be cool to see a Thrawn with the proper shoulderpads already made on, at least angle cuts (ball jounts would be better) on his arms and bending knees so he can sit and ponder and gesture as he explains his plans and such. I'd also love to see a Thrawn sporting a real "nutrition frame" with a ysalamir that more resembles what the books described.
A SA Mara is a no-brainer as she seems to be a pretty vital character in the entire EU and a fan favorite. Heck, I'd also like to see another version in her Jedi garb from later novels as many a kitbasher has made.
Talon Karrde seems like another good choice, because I suspect he appeared in a good handful of books and was very memorable. He's also a fan favorite, I think.
If I may be so bold, I think two of the most obvious choices for any sort of new EU line would have to be the Jaina and Jacen Solo, and maybe Anakin Solo as well. Probably adult, Jedi versions. These are ongoing pivotal characters and really a part of the main group of characters as far as I can tell, and are definately big fan favorites.
While he's not the most exciting charachter ever, I for one would like to see a Captain Gilad Palleon figure. He plays a role in a few books beside the Thrawn trilogy, and pretty much all of Thrawn's scenes in the Thrawn trilogy, and many of C'Baoths, were from Palleon's perspective. Plus I believe the guy played some kind of important part later on when the Imperial Remnant allied with the New Republic (or whatever precisely happened there). In any case, I'd rather buy one of these than a General Veers, and Thrawn figures could really use a "buddy" to display next to them.
While I think his role long-term was a lot more limited, I'd like to see a Joruus C'Baoth/Jorus C'Baoth figure, as he was a very memorable villain and, by virtue of being a clone, appears in Outbound Flight as well as the Thrawn trilogy.
Some kind of Bothan, be it a spy or Borsk Feyl'ya, would be great, as these dudes were mentioned in the movies but never seen and played a pretty good role in events. Borsk Feyl'ya is not only a memorable charachter, but I'm pretty sure he plays an ongoing role (I think I heard he was in the NJO books).
Another good alien figure would be a Noghri. I have no idea if they were mentioned beyond the Thrawn trilogy, but they're pretty impressive and a vital pat of that trilogy, and I think quite a few people would like to have one. Maybe it could specifically be a main charachter, like Rukh or Khabarakh; Rukh would go quite nicely with Thrawn and Palleon if they were making a Thrawn Trilogy set.
Garm Bel Iblis would be a good figure to have and display next to Mon Mothma and Admiral Ackbar. I don't know if he made any apperances beyond the Thrawn trilogy, bu he was memorable and would fit right in with a senate and such.
If I had to pick and choose a select few of these suggestions, I'd say SA and/or Jedi Mara first, the Solo children second, a new Thrawn third.
I'd probably have more/better suggestions if I read more books, but I would definately buy all these figures if they were made. As it is, I aim to kitbash because they aren't being made. Well, okay, Garm Bel Iblis/the Noghri/the Bothans will have to wait a while, probably...