What I'm hoping for is a much improved model of the HRE (partially as a segment of getting rid of the infamous "blobs" all over the map), a more realistic representation of armies (particularly size and supply limit, but also the fact that in normal weather you only suffer movement attrition, whereas in winter time they die like flies from just sitting around. There should be more variations in the impact of weather than just "dry" and "flat-out freezing"), and an AI that will actually react to something more tangible than some fudge "Bad Boy" rating when declaring war on people.
Add to that how I despise seeing Karelia end up in Turkish hands or Sweden owning Fez after peace treaties, and a bunch of other things and you know more or less what I gripes I have with EU2. Still a very good game, though.