My favorites:
1. A better (albeit still lots of room for improvement) coalition system.
2. The drastically improved Rebel and Disaster mechanics that allow the player to plan and give information that used to be buried in event files.
3. Getting rid of the hideous MP penalties because you were African/East Asian/Etc.
4. Local Autonomy (an expansion checking system that adds strategic depth =)
5. Better religion mechanics (Protestant reformation, Patriarch authority, Papal influence, etc.)
6. Liberty desire (which looks to get much more depth next patch)
7. Power Projection
While I often am not a fan of simple nerf batting that just obliterates strategic depth in the vain hope of stopping ahistorical outcomes, there have been a lot of improvements that have slowly worked their way around to adding a lot of strategic depth. Just about any time I have to make an interesting, non-obvious choice that used to be a no-brainer it is a solid improvement.
I'm really looking forward to the new fort mechanisms. Carpet sieging has always been an abomination on both historical and strategic grounds. I'm a little leery about the whole zone of control stuff (because you really could bypass forts in the late game era) and the continued lack of value in obliterating an enemy army (most crushing defeats brought the losers to the peace table), but this should make war a lot more interesting.