Extra ability/perk will generally be appreciated over a simple stat boost, as it makes the exotic feel more unique.

Personally I would like to see more depth in exotic quests (not necessarily pure grind though). Malfeasance was a pretty good one IMO (apart from the acquisition), especially with the alternate version of The Corrupted. I think lore focused quests/missions would be better served as a way to deliver catalysts. Better than RNG drops, and it lets you know a bit more about the weapon and/or its history in order to draw more from the gun. Obviously not every exotic should have its catalyst behind a lore quest, but it would go a long way for more significant weapons like Thorn and Last Word. It would be cool for example if we got a message to meet Shin and he either critiqued our use of TLW or gave us some tips while also talking about its history or how me might need it in the future. This gives us the catalyst, and by 'practicing' his advice (getting kills/filling the catalyst), we can use the weapon more effectively (catalyst perk).