I'll begin by saying I hope the Civ 5 team examines the most popular mods for Civ 4 and takes examples of those and applies them to Civ 5.
Here's my wishlist:
1. Unique and More varied units. In Civ 4 vanilla, all nations had the same looking units which were simply distinguished by a color-coded stripe on them. I like playing with units that are unique to the civilization. I also would like a larger variety of airplanes in the modern era warfare. For example, Soviet-supplied nations should have a variety of MIG or Sukhoi fighters and Soviet bombers that have certain strengths against certain units. NATO countries should have this as well. For example, an A-10 Thunderbolt should be stronger against tanks and other ground units than an F-117 stealth fighter or F-4 phantom. I would also like to see other ground attack planes like the A-6 intruder. I would also like to see the B-52 bomber and C-130 cargo plane. France should have Tornado fighters and Britain and the U.S. should have the Harrier.
2. Military Build-up and Diplomatic Crisis. I wish there was a way for the game to sense a military build up. I've played games where I've been sneak attacked by stacks of carries and transports aimed for my country. If only there was a way for the game to detect a build-up of this, have a military advisor alert you, and then have you attempt to diplomatically diffuse the situation. For example, if the diplomacy were more in-depth, you could be prompted to ask why the AI forces are stacked and aiming for your country. The AI or a human player could respond (and possibly lie) in the following ways: 1. We are conducting military exercises, there is no need to be alarmed or, 2. We declare war on you or, 3 We have no official response at this time.Then you could prompt the other nations to condemn any acts of aggression and the possible loss in diplomatic points could cause you or the AI, whoever is the aggressor, to back down. I realize this sounds very complicated and deep but you programming folks are a clever bunch!
3. Mass Media Narrative. Everyone loves a good dramatic story. At some point in the industrial era, there should an option for a player to click on a button that opens a newspaper, Civilization Times,to see what's going on in the world. This would be similar to the current events that already pop up on the screen. Except the news would be more in-depth. Example: Suppose the AI Japan refuses to give over a technology to the AI Korea. The headline may read: Japan Rebufs Korea, War May be Imminent! Then the story may give a few sentences about what Korea the technology Korea wanted and why this rebuf may cause a war due to other factors that cause bad relations i.e. they share a border and are different religions. Also, the Civilization Times could report on the above-mentioned example of an military crisis and report the status if no country has backed down or it could report how much of the world condemns the military build-up. The newspaper would also have softer stories about what world wonders were built the last turn and tell how exactly they help the country or tell what great people were born. It could also report tragedies around the world like airline crashes, tornadoes, and princesses getting jilted at the altar!

Providing an interactive and dynamic narrative is a way to add some more fun to the game rather than just clicking and moving the mouse around while we wait for turns.
4. War Time Economic Aid. Have you ever been asked to join a war but didn't want to? Ever wanted another way to help without having to shed your peoples' blood? It would be neat to be able to give gold to another country you sympathize with so that they can instantly have military units to help fight their war. A civ would ask you in a diplomatic prompt to give 500 gold so that they can instantly produce 3 tanks, for example. The economic aid needs to be meaningful and something that could actually affect the tide of the war. If you don't want their enemy or the media to find out you can pay a higher premium for that luxury. If you fail to pay the premium, the enemy will know costing you diplomatic points and the mass media will report your donation to the world.
In summary, I want a deeper game that is more like the current world we live in. A Sim Earth, if you will. I have more ideas but need to flesh them out more.