The period has a lot of interesting events and figures: Charles V and his short-lived but huge empire and his struggles with the French and the Turks, the Italian Wars, the Landsknechts and Swiss, Henry VIII and Elizabeth, Ivan the Terrible, the vicious galley raid/slave trade cycle, Lepanto, Malta, Vienna, the rise of the Ottoman, Mughal, and Safavid empires, Babur, Suleiman, the Thirty Years' War, Bogdan Khmelnitsky, the Protestant Reformation and French Wars of Religion, Cortes, Pizarro, the Incas and Aztecs, and a million other things.
Naval combat would vary from place to place. In the Med, it would involve almost entirely galley combat with classic ramming and boarding. However, musketeers would pose a threat to commanders, and cannons mounted in the ships' bows could deliver a lot of extra damage after ramming. In the North Sea and Atlantic, as well as the Indian Ocean when the Portuguese arrive, larger sailing ships with many cannons would dominate, eventually leading to the ships of Empire. Privateering and raiding naval supply lines could net you ships and money while weakening your enemies, though not without cost and political risk.
Land combat would be pretty standard. In much of Europe, pikemen would dominate for much of the game and slowly give way to increasing numbers of shot, and cavalry would gradually change from the glorious fully-armored and mighty gendarmes to the pathetic unarmored pansies of the era of Empire. If at all possible, it would be nice for horses and riders to have separate hitpoints, so that horses could be killed while their riders survive and fight on foot. Armies would need to keep regularly supplied on the campaign map or suffer desertion, death, and reduced morale and stamina in battle. Cavalry charges with lances could impale enemy riders and horses rather than just bumping into them harmlessly like in M2TW, and lances could break on impact, reducing the effectiveness of later charges. The baggage train could keep your army supplied on the map and serve as a place to fortify and restock ammo and lances during the battle, but it would slow the army down. Furthermore, you'd have to spend a lot of money to get a baggage train, and it would be a capturable point on the battle map. If the enemy captured it in battle, they'd gain a partly loaded baggage train for free, as well as some money and a morale boost. However, baggage trains would lure undisciplined units during the battle if lightly defended, and it could be disastrous for you if some of your troops abandoned the fight at a critical moment to loot. This happened constantly in battles of the age, and would add a totally new and fun feature.
Sieges could be fairly basic affairs at first, with an option to make them huge, exhausting, epic events. Reading about the sieges of Vienna, Malta, and Rhodes left me a little dissatisfied with the simplistic, quick, easy sieges of Total War. In this era, they would involve a lot of castles at first, later shifting to bastions and star forts that could resist cannonade. There could be undermining, countermining, sallies, digging artillery trenches overnight that steadily drew nearer to the walls, petards, building mounds of dirt used to overlook the walls and rain death upon them, and many other things. No longer could you gather a few hundred men and a few catapults or cannons and conquer half of Italy in a few turns; it would take years and a lot of effort to take that much land by force.
I'd like for there to be the possibility of personal unions that temporarily link factions (think Charles V), as well as Imperial elections. The HRE would actually be several factions, perhaps the seven electorates. The electors would choose the Emperor, either from one of their family members or from some foreign faction with good ties to them, and intrigue over the elections could cause wars.
