It would be nice to have an "Open Recent" item in the File menu that would display a expandable side menu with recently opened sketches.
Ditto that. At least on the Mac, where it's a convention in the File menu.
But I suspect that it gets to the issue of cross-platform support in the code case for the IDE...
Submitted to Processing (whence it would find its way into Arduino): http://dev.processing.org/bugs/show_bug.cgi?id=1335