My top 3 things:
1. More flexible titles - Where you can determine which counties comprise a duchy, rather than having a required set of counties. Kind of a build-your-own-realm model, with a set minimum and maximum number of territories to create a given type of title. Ex. Duchy title - Min 3 territories, max 5 territories. A King title might have a minimum number of territories but no maximum. This would allow duchies and kingdoms to have dis-contiguous boundaries (and core provinces) more readily, as they often naturally developed. There could be some limits to this, of course, such as requiring the population within the selected territories to have >50% of a certain ethnic group, so that kingdoms and duchies form around ethnic lines. I just believe that if I'm king, I should be able to say which duchy lies where.
2. More titles in general. More than just count-duke-king. I would love to see a number of other intermediary titles included, such as Emperor, Archduke, Marquess, Viscounts and Barons (not necessarily all of those but certainly more levels to the pyramid). I feel it should take several generations to play up from the lowest form of nobility to a King rather than a lucky jump like can happen in CK now, those should be rare.
3. All the cool stuff from Victoria II, the populations, war goals and spheres of influence, and maybe include a bit of colonization?
4. Would be nice if you could designate an heir apparent in your family, a crown prince so to speak, who would be given a special title, on top of other titles you had given him. This may only apply to upper level nations of Principalities, Arch Duchies, Kingdoms, Empires, etc. But you could then have "John Smith, Crown Prince of England, Duke of Suffolk, Count of Hereford" etc. Where Crown Prince is his primary title and would contain his primary shield standard. Non-designated heirs would get the Duke title as their primary, or they could simply be known as "Prince" instead of "Crown Prince".
I know that's 4 things, couldn't help myself.
2 small extra ones:
1. The ability to choose the names of your children, and whether the mother or father or both raises the child (inherits the mother or father's ethnicity that way?)
2. The ability to give vassals full independence if you don't want them in your realm without them taking matters into their own hands (useful for far off lands you don't want to police)