One thing I'd really like to see would be a revampment of the message system.
Now, events are nice, and everything, and the current system of settings for notficaiton of various things is powerful, but there are a number of ways I can think of improving it, namely by making it more specific.
I often like to be notified when historical events or, in particular, historical events involving multiple choice selections, occur. This does not mean, however, that I care as much about the fact that, say, Holstein went with Yes, let raise the tax, as the fact that Castile decided not to merge with Aragon.
The message settings should be able to be defined into finer points of selectivity for this very purpose, by say, allowing me to choose that I'd like to be notified in a pop up box when my neighbors and certain other specific countries make decisions or have events happen to them, while the others can just go into the game log, and the even more unimportant or distant corners of the world can choose not to notify me at all when anything happens to them. By the same token, if I'm, say, England, I care alot more if France declared war on Spain than if China declared war on um... something. Or if Holstein declared war on Hessen. Or something.
Off the top of my head, these are filters that would be useful for cutting down on message spam:
1) Hear from Neighbors.
2) Hear from top ten, or five perhaps, countries in terms of victory points.
3) Hear from specific countries I can choose from on a list. Or perhaps through a right click menu option when I right click on my rightful territory they just so happen to be ruling.
4) Hear from countries I have very bad relations with. Or very good relations.
5) Hear from vassals/allies.
Comesurate from this, is *not* having to hear from anyone else. This makes the game history, and the event pop ups, more useful through elimination of information I don't want. And if another players wants it? Great. Don't use the option.