There are LOTS of LEGO sets I would love to have, but like most of you have said, space is a problem.
I currently have the old Haunted House set from a few years ago built and safely packed away in storage, as well as the Sesame Street set. My wife wanted the Tranquil Garden & Fountain Garden sets that she built, that we are currently trying to find the right display cases for.
For her birthday, I got her the Legend of Zelda Great Deku Tree set. Space is limited for something that big and delicate, so that's currently boxed as well.
With Prime Days this week, I grabbed the Icons Boutique Hotel.
I also found the brand Lumibricks (formerly Funwhole) via Jangbricks on YouTube, and I've grabbed their Antique Store, City Drive-In, Balcony Theater and Record Store. The Lumibricks sets come with integrated light sets that you install as you build the sets, and include at least 3 ways to power the lights. As with the LEGO sets, I have no place to put them right now, so they are staying boxed, unbuilt at the moment. Ideally, I want to have a partial city block display setup, so they will just have to wait for that time.