Many other game engines have things Jme doesn't have. For example, Xith 3D has a nice, descriptive PDF file explaining how to use it, but it's not really a tutorial. It is very convinient. It explains how to use features productively. Video tutorials would be nice too. We need ways to: 1) introduce new members fast and easy, 2) ways to easily document existing functions for advanced users, 3) easier ways to install JME, 4) Reorginization of code and functions. I would add more if I wasn't on the IPhone. It took 20 minutes to type this message.
So which of these do you intend to start working on?
I will start with help files containing every feature and basically how to use it.
That would be a very good start
I will take what there is from the JavaDoc for a start, and just spice it up for it to be more useful. There are alot of undocumented features, and the features are not explained very well.
About speed too, I have seen some ways in LWJGL to speed up not only static models, but animated models, too. They are like VBOs but work with animations. I think this should be implemented, and also JME automatically ways to upgrade speed, like automatically adding a form of VBOs to each object, and adding automatic LOD. Also, other ways to cull the scene, like occlusion. Also, the automatic creation of display lists where possible. These would be nice to have set up already, instead of setting this up ourselves.
But keep in mind that speed is not everything, what i like about jME is the ease of use.
I like it because of ease of use too, but this will be easier to make it go faster. 
That is a goal of mine too. Also, another useful thing would be the ability to create an ambient light. I cannot find something very obvious to do it, if there is, please tell me.
Speaking of java docs…how about putting up the jme 2.0 java docs on the top navigation bar? 
Good idea.