Do you currently have the MIDI shield and do you have the Sparkfun MIDI analyser code working as expected? That's the obvious first step.
One thing you could try adding is the timing of the MIDI commands e.g. how long do the notes last and how long after the start of the messages does each message arrive. That's information that is often available in MIDI listings. There are a couple of different ways to work it out so it's worth some researching.
Past that you could perhaps look into things like a transpose function so the notes out are different from the notes in. Or a simple chord player so that when a C note comes in you send out the 3 notes of Cmajor chord (or perhaps a different chord depending on which button is pressed). There are all sorts of things that are possible.
Steve