I'll start by saying I am in complete agreement with those suggesting better access to existing information when the game presents me with decisions to make, such as access to diplomacy information when an offer of friendship is made.
Anyway, on to my wishlist...it's funny, when Civ5 came out a lot of people took issue with the gameplay features that were 'missing' compared to Civ4 and even today years later game mechanics like stacking and health are still frequently requested. However, what I really missed from Civ4, and still do, are the little things I could do in the interface that were dropped for Civ5. I would love to see some of those UI features brought back, as well as a few other UI/management improvements.
Things like:
- Click on a unit to see where it is going.
This is particularly frustrating because I may send a unit half way across the map on a 10 turn trip but after 2 turns its destination hex is occupied and it aborts the trip. Invariably it comes up for movement and I pick a different destination then 8 turns later I wonder why my unit isn't where I sent it.
- Set waypoints
I know roughly the path my unit should take because I know where I am sending my other units...let me help the pathing algorithm out and give it some places I want the trip to pass through.
- Settlement planning
A way to plan out the locations for my future cities and place signposts at the chosen spots. Before release I was sure strategic mode was going to let me do this...what a disappointment that was.
- Better city build queues
For example, let me specify if I want a city to continuously produce a particular unit, or add to the queue buildings that are not available yet, e.g. I know I will want to start building a library when my monument is done even if I haven't finished researching writing yet.
Also, let me add to the queue commands to switch focus, so once I am done building this market I want to switch from production focus to gold focus, before starting construction of the next unit/building.
- City planning
Let me specify how I want the land around my city improved, which tiles should be farms, which should be mines and which should be trading posts as well as the order in which I want the built, then let me assign an automated worker to that city to improve the tiles according to my plan.
- Execute movement plans
Give me a way to tell all my units with orders to go ahead and move before the end of the turn (Ctrl-a in Civ4) so I can then manually move my other units afterwards. This would for me significantly reduce the issues of units getting in each others way as my manual moves could be smarter.
There are more I'm sure, but I think that list is long enough for now.

These are all things that, for me, would make the game more pleasant to play, by reducing activities that are chores such as remembering where units are supposed to be going, or remembering to switch a cities production/focus. Many of these were in Civ4 and I miss those way more than any of the specific mechanics from that game.