More independent revolts and/or rioting within individual cities. The possibility of your Texan province to declare their independence, gain independent control of units produced from their city, and hole up waiting for you to put them down. This could be so problematic that you could be defeated by your own empire because of your mismanagement. Such events could be religious or fueled by other factors.
The above would also tie in with a stronger espionage system. A form of future war would be attempting to fractionalize your opponents' empires. Spies are total weaklings in civ 4.
Stronger, more intelligent use of the diplomatic +/- points with computer civilizations. I need better reasons than "we just don't like you" for a civ's entire roster of techs/resources to be restricted. For example, Tokugawa might as well just be listed as "the prick who won't trade" in the civilopedia.
Less restrictive red highlight diplomacy (tie-in with above added depth).
Chemical weapons.
Diseases, both natural and artificial. Some that spread from animals, some from environments (jungle), etc. Each continent could posess seperate sicknesses. Corresponding anti-disease buildings/units.
Modern age barbarians (terrorists, fundamentalists, etc. whatever) that erupt from disfunctional cities and spread their beliefs like a negative religion, subverting the production of affected cities (they change what is being built, not just impede your projects), tiles, taking stands against specific resources. If such groups spread from your cities to other civilizations, it may have a negative diplomatic effect upon your civilization.
Bring back the advisors because they added personality and humor to the game, as well as something to be modded.
Early civs as mentioned by an above poster.
Zone of Control capability for units, ranged bombard ability ala civ3, ARMIES, ARMIES, ARMIES.
More military control over your nation's rivers. Someone selects amphibious as a promotion for their units and automatically surpasses all your rivers as if they're creeks. We used those ironclads in rivers here in america, and used PT boats heavily during the vietnam war. They are meaningful objects, and greater manipulation of our rivers is desires.
The ability to erect defensives along the borders of our lands. Barbarians just waltz into our territory and don't run into a wall until they get to the city, able to just wander past troops in forts, etc. I suppose this goes back to Zone of Control, but I don't think our borders should remain so soft if we want to build defenses.
Such defenses to be directional if possible. Walls would be soft from the "inside", hard from the "outside". Forts would be strong on all sides, exert ZOC in all directions, sea walls would be defenses only against ships attacking from water squares which may have to be depleted before they can begin destroying our defensive bonus against land units.
The ability for cities to attack enemy ships in their territory. Having Destroyers/Battleships just come along and plug away at my city's defenses without any recourse is pretty weak.
Privateers, Mercenaries, Assassins, etc. Deniable military units to be used against other civs in "peace-time". Ties in with the need for stronger espionage.
Priority control for armies, allowing you to decide on the formation of your march to improve the army's speed, right flank, left flank, rear defense, vanguard, etc. Forming an army unit wth an included set of scouts, spearman, horsemen for the flanks, artillery carried in the center, etc. would have an effect on its performance against different threats from different directions.
Being able to heal your military in foreign territory via supply trains.
Great Generals, a military leader to contrast the engineers, merchants, scientists, prophets, etc. Such leaders might have specific military formations for armies, or might be expended to freely give promotions or upgrades to your nation's troops, perhaps for specific units.
Helicopter cargo units for use in military actions, such as entering and exiting enemy terrain efficiently, lowering your vulnerability to attrition damage from the opponent.
Being able to sap the strength (attrition) of invading units in your territories with buildings/improvements. Weakening them before they ever get to the prize. They might lose 1.0 health per turn in City 14's territory, and 1.3 in City 17's because City 17 has stronger or more specifically useful such buildings against the enemy units.
I don't think the posession of 500 military units should be the only form of prevention to stop invasions. That includes how the AI reacts as well. They should be wary of strong defenses against their possible invasion, and not go to the trouble of declaring war if they consider them too strong.
The ability for rivers to convey pollution downstream, into neighboring tiles. Unclean mining of copper might affect the health of everything downstream of that copper, if it is along a river to begin with.
Regional resource use. Your city might be able to build a pasture and a route to the sheep in its territory, but until certain technological points you wouldn't be able to trade the sheep to distant regions. Likewise the ability to propogate agricultural and livestock resources as needed to be able to trade it in quantities to distant cities, within your own or another civilization's territory.
Having cities develop affinity with resources, being able to develop certain twists. Different breeds of horses or pigs or apples would develop from this, giving you another resource which provides the same function, seperately. And certain units might be meant to be rare, only being able to be developed with a specific twist of a strategetic resource. You might need to have excellently trained horses to develop parade troops, that perform intelligently and obediently for their masters. These would be something like being the first civ to research music getting an artist. If your civilization has been breeding horses for millenia, it ought to have a leg up on their use over the other guy who just got some. India might get their own supply of horses from invading their neighbor, but still request yours because they allow them to build other units or provide additional benefits, such as an extra +1 happiness over the generic horse.
More terrains: swamps, volcanoes, geysers.
The ability to benefit from mountains. Being able to work them in the city view and improve some of them with future workers.
important elevation differences. You might have a cliff seperating plains from a basin. Without certain improvements, it might be impossible to move up the cliff from the basin, you would have to climb a more steady grade to get to that level and be able to walk back to the cliff. even when you are able to move units up the cliff, they might face a river-like movement and attack penalty until further improvements/promotions.
That is all for now.