Minor things :
For some reason I'm fixated on canals.
Would like to see something that emphasizes rivers more. Yes they get a gold boost, but maybe something like reduced road construction time or cost in the early game.
Wouldn't mind seeing more attention paid to ocean tiles.
Bigger things :
Would like to see diplomacy fleshed out more. Currently the only consideration I have with DOW is whether I can take diplo hits. Would like to see trade play a larger factor in the decision making process.
Do miss the UN options from prior versions. Stands out as an area that could get some attention.
Also miss shared victories. Would be nice to work together with an AI on occasion.
And yes, I'd pay for an expansion. They went in a direction I approve of in CiV, and the G&K expansion hit the mark for me as well. I'm at the stage where I'd be disappointed if they didn't release another one.
2K is in the process of making the Civilization series accessible to your average dumb Call of Duty player in order to boost its sales, profits, and name recognition, so while I certainly want an expansion with these features, it seems unlikely to be implemented given the crowd that we're dealing with. It's a step down from the high caliber which used to characterize the series down into the abyss with people who don't have cognition on a higher level than "MOAR KILLZ MORE PRESTIGE!!!!!!" The dramatic oversimplification of the task of running a civilization to stand the test of time is now the direction of the series. This is evidenced by the infinite city sprawl strategy suddenly becoming the best option in CiV - it requires little thought and only mindless spamming of cities, much like the prime strategy in CoD is mindless infinite bullet sprawl.
Hence I voted that there would be no expansion - only more crappy DLC which could have been easily made by the community given the right tools. Fortunately, many of the ideas listed here appear to be moddable.