Besides better AI, I would like to see two improvements in eu3: First is a built in info system, like in the Civ games. At every tech level, a few words could describe what it is and what role did it have IRH, the same goes for discovering new nations, a brief history of them could come up. If I have a new monarch, then his/her deeds could be summarized. Of course this feature should be able to turned off. I spend a lot of time searching wikipedia to learn about countries, leaders, events, etc.. that I would not even hear about without eu2. If this game intends to be as educative as it can, then some supplementary information should be brought into the game.
The second thing is to have more province improvements. It is quite unrealistic, that after 1600 you can not further improve your core provinces. (I mean those provinces that you hold since the beginning of the game.) I imagine so, that each infra and trade level should allow something to build. For instance a hospital, that increases population growth and manpower. Or to avoid complexity those can be a second taxman, a vice-governor, etc. They could do exactly the same as the original ones, possibly on a different scale and could cost the same or not.