My requests are few and far between, but I'm always pleased when the concierge can get it done. For example, at the Waldorf Towers, when I saw that my room had a piano in it, I decided to hire a pianist as I planned to have a few people over for drinks before going to dinner. And the concierge not only was useful, he gave me a choice of three to "interview."
I would not like concierges whose response is "we don't do that." The concierges who are glorified doormen/ opentable reps.