Trenches or other fortifications.
Something to increase the capability of city defense (walls become more worth building?).
I'd like to see city improvements change over time. Walls could grow higher and provide more defense, temples could provide more culture the longer they stand, etc. Buildings could even "become obsolete" and require a small amount to build them up to par. Without putting too much maintenance on the user, a lot can be done to make things a bit more interactive and, most importantly, provide more immersion.
What I want to see is more effort put into the overall goal of your civilization. The developers mentioned a "big picture" that the new AI has, which allows them to make decisions based on what win condition they've chosen (so to speak). I'd like to see more options based on that exact mindset. With my above "growing culture" suggestion in mind, you could focus on a culture victory and, instead of just culture bombing your way to 50k, you'd have to be more intelligent about it and make sure your buildings mature enough to provide the necessary culture.
Continuing onto a conquest victory (my favorite), you could focus your entirely civilization on your War Machine. To an extent that is possible now, but too much of it is based on building upgrades that make your Civ more whole, rather than building purely for a purpose. Ancient warmongering civilizations didn't need aqueducts; they didn't have huge cities, expensive wonders. They had a collection of tents or small buildings, a bunch of weapons and a goal: To crush my enemies, see them driven before me, and to hear the lamentation of their women (-Conan). Hopefully strategy plays enough of a part in combat to allow a minimalistic war machine, without making it too easy.