All the little touches that can add to immersion are a lot more important than some people give them credit for. I'd like there to be a clear difference between teleporting and using an elevator, for instance, or taking a ferry. Currently, they're all pretty much the same thing, which can make it hard to think of the setting as being a real world.

They've got it in bits and pieces already. We can get an animation of taking ship from Limsa to Vesper Bay, but not for taking a ferry from Limsa to Aleport. We get an animation for taking an airship from Gridania to Ul'dah, but not for taking an airship from Gridania to the Gold Saucer. It would do wonders for immersion in the world if all of these missing transitions were included, ferries, elevators, the missing airships, and places like the labyrinth in Southern Thanalan that takes us from Nald's Reflection to Minotaur Malm.

As for when we just walk across a zone boundary, there was a suggestion a while back about using the zone art that we currently only see when first logging in to the game. It could be put in place of the plain black screen. (We already get a brief animation here, of our character running off into the distance from the zone we're leaving, but following that with zone art of the zone we're entering would be a bit nicer than following it with a plain black loading screen.)

I'm not quite sure what teleporting through the aether should look like. Maybe some sort of screen transition effect that morphs your view of the area you're leaving into something akin to the aetheric mist seen in Mor Dhona's gloom weather, and then morphs that into the area you've teleported to. Or SE could come up with something cool looking. But at any rate, I'd like it to look different than more conventional movement by taking an elevator or boat.