The best wallet connection UX is no wallet connection at all.
dApps can be thought of as protocol-specific block explorers that help you craft useful transactions. Wallet connections are often unnecessary and privacy-compromising. In some cases connecting a wallet makes the dApp inaccessible due to the wallet's transaction history. Ironically I was even blocked from contributing to Roman Storm's legal defense via Juicebox for my use of Tornado Cash many years ago.
I recently started working with @patagucci_girl on ERC-7946 to allow dApps to propose complex transactions to the wallet via QR code or NFC, without any knowledge of the user's wallet address. This proposal sacrifices a small amount of UX for a significant gain in privacy. Privacy-preserving wallets can go further by using locally hosted nodes or light clients to avoid leaking your information to third parties e.g. Infura.
If adopted, it means the dApp no longer has the ability to block a wallet for various reasons such as a completely legal interaction with Tornado Cash. In addition, dApps would have to log significantly more information to be able to link your transactions to your IP address. With this ERC, some dApps could even be offline, delegating important parts of the transaction construction to the wallet via smart contract.