I've always thought a rather nice extension would be to run it something like:
Bank
Blackfriars
Waterloo
possibly: new station in vicinity of Horseferry Road
Victoria
Knightsbridge
Royal Albert Hall (new station)
High Street Kensington
Kensington Olympia
Hammersmith
The two advantages are that it would relieve congestion on the Picadilly/District lines (and to a small extent, on the Jubilee line between Waterloo and Green Park - some passengers travelling westwards would use the new line instead), and that it would allow you to completely kill the District Kensington Olympia branch.
A potential problem is the platforms at Waterloo are facing the wrong way, so you'd have a very curvy line there.
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And yes, at the other end, I like the idea of Moorgate->Finsbury Park->Highgate->Mill Hill East -> Mill Hill Broadway -> Edgware, though I realize the arrangement of tunnels between Bank and Moorgate probably makes this impossible