where do i start? espionage, i want to be able to station spies to defend ALL my cities. i like the civ v way of deploying them better than having a spy unit you had to move about. spies that are so dumb as to be caught in transit were not good enough to be made spies in the first place; so civ v way of sending them out is better, but they had way more options in civ iv.
some unit stacking especially in cities and forts. i dont know of military bases or forts that occupy a tile where only one unit will fit. unless they rename them from units to armies (that would make sense). but i dont think the unlimited stacking in civ iv was better. there should be some limit
politics. i like city states a lot. i hated where in civ iv u could not negotiate with that whole continent of barb civilisation...wait why didnt they ever become a civ ? why dont city states even try to become civs for that matter. or maybe some civs might have internal troubles and split into city states...say if they have been widely separated from the main cluster of cities in their nation, or if the nation itself has been 2 cities surrounded by other civs and unable to expand for 500 years, one city might rebel there could be a civil war option and they could decide if only a few cities to just split, something like yugoslavia did.
diplomacy. theres things i like and dislike about iv and v. some replies in v dont seem to have any effect. chain denouncements seems a bit broken. and the memory of some things in v is too long. its not realpolitik enough. which is not to say those things shouldnt still be remembered, just not so much of a diplo effect for so long. i denounce your haircut and silly clothes option...well alright some sort of pretext for war that involves an actual reason from a list; be it 'you bullied my ally/ CS ally' to 'you threaten the peace of the world and im getting my retaliation in first'
privateers being untraceable (anonymous, not your flag). the way they are now, weaker than the frigate and unable to bombard land either, there's no point building them might as well build frigates. maybe they are better at capturing ships, but if its going to start a war what's the point? the point of real privateers was attacking an enemy by a proxy instead of open warfare! oh and while we at it, more of the naval units were able to bombard land targets in civ iv, that was better.
some random events would be nice. and a mercenary that is like the privateer in civ iv but on land - a raider of cities or capturer of units with no country flag who u can target places with, unlike barbarians.
raging resources option
ai able to declare war on you in settler difficulty in civ v would be awesome.