The Volvo S40 has been a great car for me. I got the base model with only the automatic transmission, but it still comes with a lot of features like keyless entry, CD player, etc. When I first got the car, the fuel economy seemed pretty lousy, but 5 months and 5000 miles later it seems to have improved tremendously. I have taken 87 octane since day one and the car performs quite well with it. The pickup is terrific for the 2.4L engine, although once or twice I have had to floor the pedal in order to make a quick pickup on a freeway merge. The handling of the car is quite good as well, although during sharp turns the car feels slightly wobbly... definitely not firm as a BMW 3-series.
T-Tec seats (probably the second-best non-leather seat material after leatherette), good fuel economy after break-in, wet-transmission mode, automatic headlights (nowhere in the manual or other documentation is this mentioned, but the headlights DO turn on automatically at dark)
The key design (I feel like the fake blade will break off the fob; they could have made it more blended-looking like a Mercedes key or folding like a VW key), more storage (center console bin is WAY too small), built-in AUX jack for mp3 players, be able to select a CD track using the dash keypad.