A fortress / outpost type of building would be amazing! This would allow the AI or player to create choke points without having to build up a new settlement and go through all of the effort of making it "right". Not only that, but it would increase the challenge when playing against the AI, because we would have to go through maybe a couple of fortresses / outposts before getting to the main settlement. Maybe you could even treat them as "mini-settlements" and have levels to these buildings (outpost/fort/fortress) and increase the AOC as it levels up. It could have different defensive bonuses and maybe have a reduced training time for units (on par with a settlement having a barracks) or something like that.
Wishlist addition of mine that sort of relates to this... figure out a way to make the Terraforming spellbook not as cheese. I shouldn't be able to completely avoid an enemy chokepoint by just casting a spell on a mountain and making it disappear.
Definitely want to see some improvements to the dynasty system as well. At this point it's just mainly... unimportant. It's "cool" to keep track of my family line, but it doesn't have much of an impact other than creating free Hero units essentially. Which is nice, but... nothing separates my children from Heroes, so I don't really need them.
Here's a new one that hasn't been mentioned... Politics. I want to see some more useful political machinations available to us, and to the AI. The ability to attack a player under the guise of another ruler, the ability to deceive Ruler A into attacking Ruler B, or cause a general/heir to rebel against their King and either try to take the throne or break off and create their own kingdom. You could even create an alliance, attack your ally under the guise of THEIR ally (who now has a resource you want) just so you can attack them and gain that resource without breaking your original alliance. Or it could all backfire and now you've got 2 enemies. Maybe Diplomatic Capital could be a fluctuating resource, rather than just "political gold". And on the other side of the coin, the AI can do these things to you as well. You could get attacked by "Magnar" but really it was Capitar trying to incite a war between the two of you. This would require quite a bit of AI coding of course, so... you know, it's easy to just talk about it. Diplomacy Tech could really become a lot more fleshed out if you could unlock different political machinations, bonuses to "scheming" or whatnot in addition to the different options. I've yet to play a 4x game with a really fleshed out diplomatic angle, and I really think with a few right ideas, the complexity of this game could really expand, without overly complicating how we play it. It could create some interesting new strategies by getting others to do the dirty work for you.
I know a lot of these ideas would probably be difficult to implement, but hopefully just getting the conversation started can get the ball rolling on some new changes 