I have lots of ideas about the ideal total war game but I don't know what's possible and what's not. So here's a list of things that are common to most of the games in the series that I think could be changed without too much work.

Choose the bodyguards for your Generals/Family Members. I like the idea of the bodyguards but it doesn't seem very realistic to have a unit of elite heavy cavalry for every family member. If you get enough family members together you have a whole army of bodyguards that can steamroll practically anything. And why should you have these units if in your whole empire you are only capable of training a musket militia at best? Also, the default bodyguards can get very expensive if you are on a budget, to the point where I am cursing each new family member because of the cost. I would like to be able to attach/detach the bodyguards for each family member from the units or mercs available in your cities.

A unit for settlers or colonists. I have a feeling this one might already be in the game. Anyway it's just a unit you can train, except it's much larger than a regular unit, and doesnt show up on the battlefield. If they are caught on the losing side of a battle then they can be ransomed. (executed? enslaved? exiled?) It would be cool if they brought the ratio of religion from their home province with them and added it to the new one.

Soldiers on the city view. When you view a city on the battle map it would be cool if you could see the garrison troops marching around on the streets, guarding the palace, drilling in the barracks, etc.

Also, I second all the ideas posted so far...