I would have loved a class on how to write mathematical papers and what goes into mathematics research. Everything from neat Latex tricks to how to organize and structure ideas, theorems, etc, going over bad vs good papers, even perhaps discussing what makes good math books. As well, an overview of what goes into a PhD thesis would have been extremely useful. It's a shame that one usually has to pick up these various bits of info on their own. The class could coincide with a current undergraduate senior project for example and act as a supplement. I took a similar class like this in the physics department and it helped me immensely with my work.