As a security conscious user, I'd like to be able to set a two-factor authentication (2FA) method as an additional security step.
At the very least this would include receiving the code via SMS. Although this method is not as secure as other methods, it's better than not having any form of 2FA set. Ideally I'd like to have a choice of using a Time-based One-time Password (TOTP) authenticator app, e.g. Authy, Google Authenticator, etc.
For the more security conscious, integration of the Universal 2nd Factor (U2F) protocol - developed by the FIDO Alliance (FIDO U2F) - would be excellent.