From the top of my head:

 - User account management
 - Fulfillment of legalities (all depending on local law): Know-Your-Customer, Anti-Money-Laundering, license to exchange currencies, banking licenses, money transmission license
 - Banking partnership/account in order to process Deposits and Withdrawals in at least one currency other than Bitcoin
 - Deposits and Withdrawals in Bitcoin
 - Safe Storage of Bitcoins
 - Some sort of Market software

You probably want to find a lawyer to tell you what legal requirements you need to fulfill for your Nation's jurisdiction, and perhaps somebody that can help you with the economical/marketing side of things.