I miss the late game unit balance of civ5 - specifically, how they had modern era units all need oil but advanced units needed aluminum. Yet oil units weren't totally obsolete either -instead of a 50% power gap they were more like 25% - it was sort of, you build as many aluminum units you can afford, and then you fill in with oil tier or resource less (bazooka- great unit.) I think 6 suffers from the lack of that dichotomy at the end game, and the fact that where 5 had resource deposits of 2,6,8, civ6 has fuel deposits of 3. That kinda sucks.
I also miss one aspect of corporations from 4 - a usage for duplicate lux and bonus resources. It was fun.
And while I'm riding down the civ4 memory superhighway, between civ4 and civ5 BNW i felt like you spent a lot of time in the first 2/3 of the game fighting against your own internal economy just with how gold, happiness, and/or health was balanced. I kinda miss that. I also really miss the city connection mechanic. I think it would be a great thing to come back under the loyalty mechanic, possibly domestic trade routes too.
Last one: national wonders! I think the district and tile system in civ6, plus aura and adjacency effects, would lead to some crazy fun wonder concepts.
I really miss the zany scenarios they had in IV. Gods of old, final frontier, nextwar, FFH... When I look at Earth maps even now, 15 years later, I always scheme about recreating the Great Southern Empire. That said, I rank the Scramble for Africa scenario from V as one of the best scenarios I've ever experienced. I played that so many times just because it was such a riot from all the different countries' perspectives.