Well if we are talking about what is the most important part of a car audio system then it has to be the quality of the speakers. The bass should kick when you want it to and the mids and tweeters should be crisp and clear.
But if we are talking about features of a car system I would say in modern times having an easy accessible auxiliary input is very important. It can be used for iPods and satellite radios so you don't have to use a FM transmitter. Also, it is nice if the receiver in your car can display the song information that it receives from an iPod on the screen.
In my recent column, The perfect car stereo, I cobbled together the best stereo features from different cars. What car entertainment feature is most important to you?