Supply chains for big armies would be nice. So say you have a full stack moving into and enemy territory there will be a road behind that army leading back to your province. If the enemy cuts that supply chain then your army undergoes major attrition.
More disease would be good too. So that your or the enemy's army could disappear over a turn and thus force retreat and towns can be almost wiped out but disease.
Finally more music like mtw1 cause that was the best music ever
And bring back proper city battles like mtw2 and rtw. It would also be nice if during city battles there were the people of the city there for you to slaughter or not. The ability to destroy any building with any units during a battle like mtw1 would be nice too.