More sound effects should be added to the game. Right now the only sound I ever notice, besides the music, are when you place a building, and the occasional confirmation sound from one of your units. This makes the world feel rather sterile. Adding more sounds, both for events and ambient, would help a lot in fixing this.
Events: When you receive messages about events like troops being build, people being born, etc, nothing is really done to draw your attention towards these messages. Take a cue from Rome: Total War. That has a similar message system. But when those messages arrive, you hear the sound of a parchment scroll hitting your desk, IIRC. And when you open them, a corresponding sound is played; coins in a chest for financial reports, wedding bells when someone gets married, dramatic sounds when someone dies. All of this makes the message have more impact.
Copy this, Have crowds cheering when a royal child is born. Have them mourning when a champion dies. Play drums when you go to war. Trumpets when peace is declared. Hear troops marching when they are finished training. Ships going down the ramp when they are launched. People screaming and buildings crashing when a town is razed. I can go on...
Cities and buildings: When you have a town in view, especially when zoomed in, you should hear sounds coming from that town. Just the occasional sound from a quiet little outpost, and a constant stream of sounds from a bustling metropolis. You should hear people talking, dogs barking, karts being pushed down the street. And have these sounds depend on what buildings are in the town. Have a sergeant shouting at training troops if there is a barracks, merchants praising their wares at a market place, people laughing at an inn, horses neighing in their stables... Again, I could go on and on...
Environment: Same thing goes for the rest of the environment in the game. Have birds singing when you are over grassland. Have spooky sounds when you're at a fallen forest. Seagulls and waves at beaches and cliffs. Frogs and insects in swamps. The occasional eagle cry over a mountain range. You get the picture...
All of this isn't very high priority stuff obviously, but it would help a lot with helping the game feel more 'alive'.