I remember back when we first got to travel between all three cities. A friend of mine had started in Gridania, while I had started in Ul'dah. We were chatting with excitement about the differences in our geographic regions, and he said to me: "You have to show me a picture of what the Black Shroud looks like from the outside! These trees are massive!"
Imagine our disappointment when, upon reaching the zone line between Thanalan and the Black Shroud, it turned out to be just a wall of rock that you couldn't see over. :/
I'd love it if the zones had a more "natural" border that had more impact. Speaking of more natural zones, the ferry ride from Thanalan to Limsa Lominsa! Let's get that changed as well! The water is so still.. the ride, so boring. And what happens to all those NPCs you see making a mad dash onto the boat in the cut scene? They disappear every frigging time. I'd love to see the ferry ride get more ambiance like the ferries in XI, as well as more liveliness in the form of NPCs (passengers as well as crew) and maybe some mini-games to pass the time. Maybe there's a fisherman on board that challenges you to see who can fish up the most during the passing, or maybe there's a sailor who wants to play at a game of dice?
As far as the rest of the zones go, other than the already-known issues of copy/paste terrain and the lifelessness of the Shroud, it would be interesting to see more unique aspects to each zone. For instance, the Shroud is supposed to be filled with bandits, mischievous spirits, and so forth. Why not have some of those things in the Shroud, then, instead of just having NPCs talk about them? The sylph are supposed to play pranks on people.. why don't they? It would be neat if now and again while you're walking along, a tree will rustle, like there's something in it. Or maybe you see a pair of glowing red eyes peering from a cave..
I also whole-heartedly agree with the sentiment of 4 seasons in an MMO. The snow in Ul'dah was neat this past winter, but you step outside the city and it's gone. And even the snow that could be seen falling didn't stick to the ground and pile up. I'd love to see blustery winds of spring carrying seed pods and little green leaves, or snow falling in the winter, or leaves piling up on the ground in the fall. It would make the game feel so much more alive.
I'd also like to see NPCs doing more. Maybe in these upcoming hamlets they're releasing, it would be nice to see farmers tilling their fields (and then going back into their homes at night), or a traveling bard walking along the road that stops to tell you news from where she just came from.