More turns per year and Multiplayer campaign of some sort (thanks to Myrddraal for making it possible in RTW). Possibly something to change the names of Family members, a system of voluntary adoption and marriage (you choose who and when), possibly even a system to choose when to attempt to have children.

More Senate offices for the Romans...hell even a system for EVERY faction that allows you to create a unique social structure that would give influence bonuses.

More options for Client Kingdoms...like telling them where to attack and when. Also, you should be able to give units to other factions to represent mercenarys or gifts.

On the battlemap, you should be able to see the caravans and night tents, even fight from them.

CAVALRY THAT CAN FALL OFF THEIR MOUNTS!! Its kinda un-realistic when both horse and rider fall. All units should be given some sort of option to become/un-become cavalry. Imagine a general falling off his horse, and all of your men rushing to save him.

Also, more men on the battlefield ..as much as can fit without casuing computer difficulty..id like Legions of 6,000 men each myself..and massive fights with over 30,000 men.