In order of what I enjoy;
Campaign Story - An actually story campaign is quite important to me and Legendary Heroes did not really have any, it was more a sandbox experience. A campaign provides a great way to present lore and story, which I love. Essentially like the campaign added in that patch a while ago, The Fallen Enchantress one.
Sovereign and Faction Creation - I enjoy making a unique faction that fits closely to my play style and a sovereign that aesthetically and tactically fits a role I prefer, I am a roleplayer at heart.
Heros and Leveling - I absolutely love bringing an army and heroes through many battles, it generates a character and even units gain sentimental attachment when they have leveled up over so long
City Planning and Tech Trees - The micromanagement and planning of a tech tree for my faction is very enjoyable, I do wish we had more city planning options though.
Questing - By no means perfect as it requires randomization but I really do like sending my characters on quests around the world. I get very upset when an enemy faction beats me to a location by one space. I usually go to war in spite! As a byproduct unique items is something I love obtaining in the game, makes every character unique, I just wish units had a chance to use unique items obtained through quests too.
Random World Generation - quite an important aspect that I enjoy, I know for a fact if the game only ever had a handful of set maps I would be quite bored.
Diplomacy - I like to make allies and enemies, trading tech, resources and generally interacting with other factions. I just wish this aspect was expanded upon.
Tactical Combat - Fairly fun but not perfect, which is why it is last on my list of fun things.