As I write this, there's a thread 235 posts long on the first page of the EU3 forum. But basically the things people want fall into two classes. The first is improvements to the existing game mechanics for all nations. Popular examples include the ability to "call to arms", or having a family tree for the royal family (instead of just a ruler and, maybe, an heir).
The second kind of thing people want is improvements to the representation of the world outside of Europe. This includes improvements to the gameplay of non-European countries and improvements to the mechanics of colonization, and it includes both additional game mechanics (an example might be the ability to establish trading posts) and fleshing out existing countries with events, decisions, and missions (for example, representing the internal politics in Japan in some way, or an event for the smallpox epidemic that hit the Incas a few years before the Spanish showed up).
None of the continents outside of Europe will develop in the ways they historically did under the current rules. For example, in North America Portugal will typically colonize the eastern seaboard of the US, over a hundred years before it was historically colonized by the British, and then quickly conquer native country that in reality remained significant political entities until the late 1700's/early 1800's. Historically the French and English allied with native groups, but in the game there's no reason to do that, and you can't do it even if you wanted to because the natives are in a different religion group from the Europeans, can't convert, and alliances between different religion groups aren't allowed.
Similarly, the game doesn't follow history in Peru, Africa, India, and only in the most rough way in China, and when I say "doesn't follow history" I mean "it bears no relationship whatsoever to history." African countries that were historically conquered in the late 1800's, in the Victoria period, are routinely conquered by 1500. Ethiopia plays like a really weak Mongol horde that has no cavalry. The Incas are a republic. Etc.
So I think there's a lot of room for more interest and nuance here, not just for games when the player's playing a non-European country but for games when the player's playing a colonizing European country. At the moment, if I'm playing Britain, I can send a single regiment into a province representing thousands of square miles of wilderness controlled by scattered natives. The control can be instantly seized simply by marching my soldiers through. Then send one missionary and the area will shortly become a patch of settled English countryside. It's not just unrealistic, it's also completely boring.
. Actually, you could have a prime minister who acts as leader of the state for most purposes (and is elected etc.) while the monarch might be ruler of other countries through personal union (like a certain British dynasty of this period). I was concentrating on the material a "Rest of the World" expansion could cover, though. There's certainly plenty of things in Europe that could be improved/treated in greater depth.
