Everything.

Especially:

1. The campaign map. A Risk-like map with the same battles in every province versus hundreds of different battlefields all across Europe? Hmm, tough one.
It also presents loads of tactical opportunities with your forts and watchtowers, ambushing etc. It's just plain better.

2. The battles. Aside from the fact that they clearly look a million times better than ever before, I find the pace of them to be just about right. Also, like others have said, no more chasing guys around the map to end it. And, no more stupidly tough generals.

3. I love the units you get like Priests, Merchants, Princesses etc. Some are new and some are just more useful than they were before. I don't have a problem with the micromanagement. None of them are essential to success anyway, Im just glad they're there.

4. The music is great. The music has been consistently great throughout the entire Total War series mind you.

5. The New World. To be honest I thought this was a pointless addition to the game and didn't have much interest in it. But I finally managed to get there last night and Im having great fun. New music, architecture and of course units. Great stuff.

6. The whole atmosphere is just "medieval" somehow. I love it.