They said we'd never guess...
So, teaming up with MicroSquash to develop Xbox 2, possible, but not likely. We could guess that.
Teaming up with Nintendo to develop something, possible in the far future, but the N isn't suffering that badly right now, and it is something people have guessed already.
Relaunching the DC in the US, possible, wishful, but not likely in the least. Plus people have ventured that guess already.
Here's one that nobody's touched yet... They announce that they've licensed the Genesis (MegaDrive) system to a third party, similar to what they did with Majesco a few years back, and they're producing a new, improved version of the Nomad. I would love that, but it isn't very likely.
Here's a good one... SEGA is getting back into the hardware business... The PC hardware business. They plan to launch their own line of mail-order PC's to compete with Dell and Gateway. I'd say cool, but that ain't all that likely.
The announcement will be one of two things: Either the expected let-down where they just announce some new games, many of which we already know about (not that the games would be let-downs, but it would be a let-down for that to be all the hype was over), or they announce surprising management or staff changes at SoA. I think the latter is a distinct possibility. They could be building hype to make a big announcement that they've hired some big name programmer away from PC developement somewhere. They could be replacing the head of operations with someone that'll make us say "wow." Or maybe they just sold off one of their development teams to another company (SEGA Sports team to Microsoft, whatever).
Whatever it is, don't think it has to be directly game related just because it is at E3. SEGA of Japan would handle most announcements pertaining to more than one region. For SEGA of America to be making a big announcement means it most likely won't affect the worldwide markets.
Anyway, right now might be a good time to pick up some SoA stock. I bet it'll rise right before the announcement, then fall as the announcement happens. If you manage to sell right before the fall, you could make a few bucks.