Ability to customize some of the UI, with, say, keyboard shortcuts. Saving some "favorite" army setups and battle scripts would be a nice feature; with the game as it currently is, if you find something that "works" for you, you have to recreate it every time. I find I don't have the patience for it...
Similarly: I'd like to see the return of the Battle Simulator - and to have it launchable from the main game. Here I am, planning for my next turn; I know what my available armies are (or could be, depending on how I move this and this one); I have a good (or bad) idea what the opposing armies are (or could be), and what the opposing player's tactics seem to be. I'd like to be able to test, from within the game, what the possible outcomes might be.
More content: I'm not sure this is so essential. I mean, maybe some people managed to explore each and every unit/combo in the game, but I haven't; I'm pretty sure there's enough stuff in there already to Last me until Dom4.
More battlefield orders. More scripting options, especially if it's easier to store/recreate them. Include an "intelligence" stat on some commanders (or troops?) that lets them store more complex orders. Include an option for "if" orders, or maybe just "if unapplicable, do this instead". Of course, for this to be manageable, we'd need better "script management" (I guess that one's my top wish, after all).
Saveable battle replays. Not that it matters so much, but sometimes, in a big MP game, you're so happy with how things turned out, you'd like to be able to brag about it without sharing your password
