Tools (SSMS, Agent, Profiler, Migration, etc.)
Basically what we are looking for is behavior analogous to the SPOOL command in Oracle's SQL*Plus utility. My output file should look exactly like the command window I'm interacting with. I should see the commands I typed and any results.
This allows for accountability to external auditors regarding actions taken outside normal application functionality. It also allows these actions to be tracked, as well as the results of the actions and if they were rolled back or committed. If nothing else, it can help a DBA to see exactly what he did during a crisis for any postmortem research later on, since it is likely that during the emergency, we're trying to fix the problem as quickly as possible, and not noting every command we're running.