If you haven't yet used Lightning shortcuts, they are awesome, especially in console! I think that these same efficiencies that we are bringing to end users minimizing clicks should be available for admins as well. Here are the first few that I think would be valuable:
1. Open App Builder from current page (eg Clicking on the Gear - > Edit Page).
2. Open Developer Console (eg Clicking on the Gear - > Developer Console).
3. Open object manager (eg Clicking on the Gear - > Setup -> Object manager).
4. Create new app page (eg Clicking on the Gear -> Setup -> App Manager).
Be sure to add others to the idea and vote it up!