Improved diplomacy would be very nice. Alliances were useless in RTW. Things did improve in M2TW - while regular alliances were still useless, at least with a Royal Marriage alliance you knew you wouldn't get stabbed in the back.

I haven't played the more modern titles so I've no idea what its like in them.

But yeah, a coordinated attack feature would be cool.

What I would really like is a completely revamped diplomacy feature - something like Europa Universalis, where you can build real ties and even diplo-annex. I would love a game with Total War battles and Paradox-style diplomacy, but I know that's just a pipe dream.