Yup, it's hard to say before one gets to experience SoZ... But, well, a fresh setting (within the Realms, of course - there's no chance an NWN game takes us elsewhere, and I have no problem with that). I wouldn't mind an adventure set in Icewind Dale, for instance (now that Spine of the World was mentioned). But really, anything we haven't seen. I like it how Obsidian went with Chult/Yan-ti/snake-themed interiors/etc. with NX2. Some new "sets" like that for the builders!
I won't be surprised if there's no NX3, but I also won't be surprised if there is. NWN2 still seems to have loads of content in the pipeline. There's NX2, the adventure pack(s, I presume), and community projects like Purgatorio (perhaps those guys, too, are working on some commercial content..?). If NX2 seems to sell well, it might make sense to come up with one more expansion.
As for the 4th edition, the devs have said, in an interview, that the 4th ed. ruins of Neverwinter would provide a nice setting. Or one of them has. Did Obsidian make a 4th edition game in the near future, could that be based on NWN2? Or are the changes in the editions such that a wholly new game would be needed? (Just wondering if we might get an "upgrade" of sorts to NWN2 - not just an expansion, but also not a wholly new game, really. Probably that's unlikely in the extreme.)
Hoping to see some NWN-style goodness (A D&D game, set in the Realms, and with a toolset) from Obsidian in the future, in any case!
Cheers...