Maybe even have this map not appearing with visible geographic shapes, but completely black - so there is really the feeling of discovering a new world.

And don't make it too profitable to raid the Aztecs and establish colonies, so the game won't be a race to go oversees. I would not like it, if it was kind of a sure winning strategy to go overseas as soon as possible.
I think it's ok, if you have to thow in a considerable amount of resources to establish yourself in America and that you should feel the lack of these resources on the European theatre. So in my opinion, it should have quite balanced pros and cons to cross the sea. Maybe in a way, that you even don't make the journey in every game or with every faction.

And I do hope for a real Colonization Total War Expansion!