New F.R.O.S.T. Anbu/Oinin base
Fix up the old mansion that's abandoned
Reinforce the walls of Yukigakure ((I didn't see this in the Entrance thread. Where are they?))
An add on to the hospital for the medical corps, that gives a bonus to learning Eisejutsu.
A temple. ((What kind?))
A park, a plaza... a proper training grounds that would work the same as an academy and/or dojo.
Squad HQ w/relaxation rooms.
Have you really wanted anything else built? Seige weapons, reinforced canal walls, emergency dikes, a port/hangar bay for building things, trains & train tracks (it's canon!), secret tunnels.... I can keep going~ ^_^