I think it'd be neat if you'd get a small revenue from privateers - after all, they were historically not only raiders to attack foreign powers, but also (although to a lesser extent) to cut some chucks out of the competition and funnel them "home". It would be even neater if your hired guns could be set to attack certain countries' ships only, as well. "Leave the Portuguese alone, we need them in our future war. But rid the seas of the pesky English." Well, maybe I am too influenced by the oldie game Pirates!, but I am wondering if the commissioned, anarchic form of privateers currently in the game holds true to their historic counterparts.
Intercepting colonists through privateers or military forces would be a neat feature as well. I always found it awkward when a country I am fighting a bitter war with sends hordes of colonists through my territory. Of course, there are not steel-eyed royal guards fending off invaders along the border every 5 yards, but eventually they must meet someone, even in rather uninhabited lands. Prohibiting movement through provinces with enemy armies (i.e. from a country you are at war with, or have relations below -150) would do a great deal as well.