1. Perhaps regional markets
2. Ruler names and traits, something like cabinets, to allow us to experience Gladstone, Lincoln and Bismarck in action.
3. Better naval system (max. cap on the size of fleets and a reward for mixing screens and capitals)
4. A differentiation between limited and total war (of course Great Wars, were a great step in the rigth direction), if I want some colony in the middle of nowhere, conflict shouldn't take place, on any large scale, in Europe, but mainly in the colonies, even if the war was between two nations that were close to each other, like France and UK.
5. A EU3 like mission system, or a system with long term national goals
6. Some more opportunities for customizing your nation (again like EU3) perhaps national ideas, or something, this could be combined with national goals, or you could do something cool with national values, like (I think) PDM did.
7. Better diplomacy system + Espionage: Defensive Alliances and all kind of secret treaties etc. Expanded diplomacy also includes more ways to handle infamy, as it is the player can hardly do anything to affect it. In one of the other treads, someone mentioned a "Crisis-system", which sounded way cool. (EDIT: It was SecretMaster who brougt it up here:
http://forum.paradoxplaza.com/forum/showthread.php?611629-Ridiculous-Alliances/page3)
8. The internal politics of foreign countries should matter more. Again AHD was a great step in the rigth direction with foreign investment. But when a country nationalizes the means of production, and I get a CB to vassalize them and win, WHY on gods green earth do the communists STAY in power. The government should either be replaced with: a) a government of my own regime type, b) a laissez-faire government, because this would be in my imperialist interest. Also, while we're at it, sattelites should be made more interesting somehow.
Also, there should be a large influence bonus, when trying to influence governments of the same ideology/regime-type. Especially proletarian dictatorsships, should have an easy time sphering each other, as it is now, I can't see why a proletarian dictatorship should "spread the revolution" except for Role-playing reasons. The only thing they achieve, is the lack of opportunity form them (and others) to invest in said country.
They are listed in ascending order of importance (nr. 8. is what I think is most important Nr. 7 second most important etc.) I hope some of this will be implemented in a future expansion, this game is awesome as it is, with the addition of some of this, it would really hit the top.