(This is a feature request only really relevant to moderators, but feel free to vote or comment anyway!)
With the move to 2.0, the moderators now have a new mechanism for contacting users, called a moderator private message. It's nice because it handles showing them the message through the site interface, but also sends a copy via email if the user has provided one. It also notifies all the other moderators through the SE inbox, but not via email.
Please BCC all moderator private messages to email@example.com
My main concern is merely to have a permanent archive (ie my email) of all our official correspondence, which currently isn't possible. Further, the new mechanism for sending private messages somewhat disrupts our previous practice of consulting internally on 'problem users', and instead encourages us to follow a more SE model of moderators acting independently. I think merely having all these messages end up on the private moderator mailing list will make it easier to quickly discuss issues that arise in dealing with individual users.