Thumbs up to this suggestion of making it a primary, non-plug-in feature.
The plug-ins seem designed (primarily or exclusively?) to switch *all* links to follow or non-follow or to override a universal nofollow setting. It's possible that the one Hiranthi mentioned allows individual settings.
Ipstenu, you raise a good question. There are a some internal pages that we might want to link to for customers to get to easily but that aren't ones we want the public to land on (e.g. our shopping cart page). We can set it that target page to noindex, though perhaps not everyone can or will do that. But we also might want to be clear to search engines to not consider the link to it and hopefully save the SEO link power of other links in our post.
People also might want external links to be follow enabled but want to more easily screen out some. For example, if someone found an objectionable article somewhere and wanted to point their readers to it, they might not want search engines to increase the rank for it.
So yes, WordPress, in the link popup we should have a nofollow checkbox option right there if possible, please.