I'd like to see sidequests have more of an affect on the game, such as NPCs talking about them, going away for a while, etc. I'd really like to see BG2-style ownership of different structures depending on your class (If you don't remember, Fighters could get a stronghold, Mages a Planar Sphere, Paladins a spot in the Radiant Heart temple, etc). I'd have liked to own the Sith Academy in KotOR, even though storywise it was impossible (would Malak really allow Revan to own his academy?)
Sidequests are definitely a good thing though, like Thief 3's wandering the city... Many a time I was caught up in a battle between Hammerites and Pagans. Sidequests help to break the flow, and keep you entertained and not bored. A useful thing for a game.