The list of features in May update seems to be even more extensive than usual and focuses on ease of use in Power BI.
Updates have been introduced to various components including reporting, Analytics, Visualizations, Modeling, Data preparation, Data connectivity.
The change log below lists all the changes that have been made:
Reporting:
- Curate featured tables for Excel (preview)
- Apply all filters (preview)
- Enhancements to change detection (preview)
- Change detection simulation in Desktop
- Change detection queries in Performance Analyzer
- Drill through button action is now generally available
- Conditionally set the drill through destination
- Conditionally format disabled and enabled state tooltips
- Customize formatting for the disabled state
- Enhancements to page navigation action
- Conditionally set the navigation destination
- Support for shapes and images
- Buttons now support fill images
- Drop shadow support for visuals
- Filter pane migration
Analytics:
- Decomposition tree is now generally available
Visualizations:
- Packed bubble chart by xViz
- Updates to hierarchy filter by xViz
- Power Apps visual is now compatible with all languages supported in Power BI
Modeling:
- List separator and decimal symbol will now default to the standard DAX separators
- Data preparation
Direct Query on Dataflows:
- Web by example now automatically suggests tables by default
- Enhancements to Query Diagnostics: Privacy Level partitions
Data Connectivity:
- Witivio connector
- Linkar connector
- Webtrends connector
- Planview ProjectPlace connector
- Shortcuts Business Insights connector
- Vessel Insights connector
- Zoho Creator connector
Please list your favourite features below in the comments section. 
April update link: Power BI Desktop April 2020 Updates