My own wishlist after finishing my first (very long) game, in no particular order:
1) BETTER MAGIC! The game is called Warlock: Master of the Arcane, but a better name would be Warlord: Master of the Armies. Magic needs to be more useful and more powerful.
2) Ability to right-click inspect buildings the same way you can inspect units (on the map and the build screen).
3) Ability to build upgrades inside the cities themselves, like walls (more HP) or ballistas (stronger city attacks).
4) Ingame tech trees for buildings, units and magic (or as a printable PDF).
5) Better AI all-round. AI seems to build random buildings, doesn't build high-tier units, doesn't properly prioritise targets, isn't aggressive enough when at war and wastes his time when at peace.
6) Better diplomacy. Or at least keep the AI from making the exact same request every turn 10+ turns in a row.
7) Some way to improve infrastructure between cities, like building roads.
8) A label under unit/building names saying who it belongs to (either wizard name or Neutral/Monster faction) when hovering the mouse over it. I am partially color blind and sometimes it is very hard for me to see what faction a city belongs to just by looking at the colored border.
9) An overview screen displaying all your cities, their production values, and what units they can produce. It's currently a bit of a pain to manage your kingdom if you have lots of cities.
10) And overview screen of all active spells, both your own and your enemy's.
11) An option to set the amount of Neutral cities when starting a new game, or even disable them completely.
12) Some way to use water hexes. Currently coastal cities are worth a lot less than land-locked ones because there's no way to use water tiles in any way.
13) Some kind of penalty for having too many cities. The game currently forces you to keep building more and more new cities, because every new city only brings advantages. This makes games on a big map very tedious.
14) More variation in unit upgrades. A lot of units currently share the same or very similar level-up bonuses. It doesn't make sense to me that a Vampire gets the exact same upgrades as a Wizard.
15) Late game should be more about big armies and rival wizards fighting it out, less about endless monster spawns. It's annoying to be swarmed with weak monsters just because you found a spawn location that hadn't been destroyed yet, especially if they're flying monsters and you don't have a ranged unit nearby.
16) Units should have the choice to chase after a defeated or fleeing enemy or hold their location. I shouldn't be forced to leave the defense of my city in order to chase a fleeing enemy I don't care about.
17) Ranged units should be able to move into defeated cities after attacking, when they're in an adjecent hex. I've seen several times that a ranged unit defeats a city, then can't take the city because he can't move after attacking, and the next turn the city has been repaired a bit so you have to defeat it again, repeating many turns.
18) More character creation options. More mage portraits, more bonuses to pick (and also better balanced bonuses), and more playable races.
19) Ability to completely destroy buildings and cities.
20) Ability to migrate cities to a different race (destroying race-specific buildings in the process).