The one desktop environment I live in is GNOME, which also happens to be my favorite too. It's got quite a lot of things that can be better of course and one of them is it's run dialogue. I once bumped into XFCE4's run dialogue and have used it since I've discovered years ago. What I like about it is, unlike GNOME's, it doesn't auto-complete using a large list of possible commands (presumably on the shell's path) but rather a smaller list consisting of commands I have actually run previously. What's more is that it makes those commands persistently available as history (which GNOME's does as well by the way). As if that's not enough, it will store only commands that were successfully launched to avoid storing typos and failed commands in history. These features makes for a superb, fit-for-purpose piece of software.
[update] I found this mail that I once sent to GNOME's list which proves that my opinion hasn't changed since 2007.