An electronic viewfinder is useful for shooting when you can't view the LCD very well (such as in direct sunlight) or if you're used to shooting with a camera up to your eye. Some people also find it easier to hold the camcorder stable when using one or find an EVF less distracting than the LCD. These are usually only available on full-featured and manually capable models.
Headphones come in handy if you shoot in noisy areas -- it's the only way to tell what the microphone is actually picking up.
If you plan to shoot people talking, an add-on directional microphone will give you better sound than the built-in omnidirectional mics in consumer camcorders. These are usually only available on full featured and manually capable or inexpensive and education-targeted models.
This is necessary if you plan to use an add-on microphone or video light. These are usually only available on full-featured and manually capable models.
Manual exposure controls
All camcorders allow you to adjust exposure via an exposure compensation control, but some let you adjust shutter speed and/or iris (aperture). These are usually only available on full-featured and manually capable models.
In an effort to make sharing and backing up your movies "easier," camcorder manufacturers now have models with built-in Wi-Fi. The wireless connection can be used, among other things, to send clips to a mobile-broadband-connected device like a smartphone or tablet for uploading on the go. However, you are typically limited to sending short, low-resolution clips.
Some camcorders offer a built-in GPS for geotagging video. This can be useful, but keep in mind that there's no metadata standard for attaching the geotags to video so it will only be usable in conjunction with the manufacturer's software.