This is a very difficult question and Im afraid (and happy) to say there is no one answer. I imagine that asking different paleontologists would give you wildly different answers
Some would certainly say a comprehensive phylogeny. Others would probably vote for understanding the evolution of certain traits (for example, integument). Still others would tell you that learning all we can about their metabolic processes. It could be using dinosaurs to study evolutionary processes, or to study background extinction mechanisms. My current undergrad advisor might throw out the need to more extensively discover and catalog Mesozoic microvertebrate fossils so that we understand the whole picture of Mesozoic evolution.
There's a vast array of answers, and it is entirely possible that every paleontologist would give you a slightly different answer, because of the sheer number of topics available. That's the beauty of a scientific field such as ours. You're free to focus on what is important to you. There is no one most important thing because what is important is what topics matter to you and which topics scientists choose to further investigate, no matter how specific or general.
- Nickolas A. Brand