Probably filed under 'dream', but I'd REALLY like to see a 'supply line/logistics' system implemented. Active armies would be expensive (especially in the early eras), and get more expensive the further they got from 'home'. Units cut off from supply lines would suffer attrition. Some method of using 'scorched earth' tactics would be neat too.
It'd also be nice to see a difference in the supply costs of armies. Russian line troops would, obviously, be cheaper to maintain than, say, British Foot Guard.