I would really like a way to create my own folders in my PMs to help better keep track of what I've responded to, what is on hold, or dead and such. Or even just a way to put RPs and general messages separately.
While there is no defined ETA on it, Mahz is planning to release a system for private RPs, which will replace RPs in PMs completely, @Panic. It will be just like other RPs on the guild, except that the people in charge of the RP will control who gets to read them (and post in them).
It is covered in various places in the Dev Journal.