Missions/Quests
Unique storyline missions for each city
Storyline missions that include Boss fights
Complex involved sidequests

Classes

THF!!!
Class uniqueness
Pet classes would be great, I miss Drg
Did I mention Thf?

General
Auction House
Mail system
Chocobos. Seriously, we need chocobos
High level Artifact armor which requires a challenging quest

Party
The FF XI party search feature, including seeking party flag
Better ability to be able to seek out players based on class/level ect
Skillchains
Exp chains
Fights that require strategy, this goes along with class uniqueness. I dont think fights are very fun when everybody just spams their attack feature without paying any attention to what is going on in the battle.