First, Paradox needs to get an AI to begin with. The current HoI2 AI is fairly stupid. Alright, that was an understatement, calling this an "Artificial Intelligence" is an insult. I like the scripted events, but I wish they'd fire in saner ways. For instance, if you go to war as the US in '36, your peace penalty kicks in as soon as the war ends, rather than either a slow spiral back down, or simply remaining at the same level because you just had your big war. And then on top, your "Gearing up for war" events will not fire because you passed the time checks.
What I would like to see is the abstraction remain. I don't like how detailed Victoria got with all of it's economic management. I like the HoI2 simplicity that allows me to look at the computer, say "run my sliders" and have the computer say, "okay" and proceed to let me concentrate on my strategy. I don't want to have to micromanage 90 different resources, factories, and shipping centers. If I did, I'd go play Civilization IV.
I would also like to see the option for players to mod in their own unit classes, with behaviors and rules. Rather than have us stuck with "Infantry" "Tanks" "Tac Bombers" I'd like to have the ability to add in, "Dirigibles" let's say.