Firstly, I have attempted to search the forum for this feature but have not been able to find a request for it.
The feature:
When VLC is closed and the video it is playing is unfinished, VLC should save the position of that video file so that when that video file is started up again it should start up from the position it was stopped (and not from the beginning).
SMPlayer (http://smplayer.sourceforge.net/) has this feature and it is very useful as it saves having to forward through the entire video. As a side-note this feature can be made optional.