Well, as far as low-hanging fruit goes, there are a few big things that would improve things for me:
1) Interesting loot that takes effort to get, but isn't irritating. I'm not a huge fan of crawling through dungeons in cities (it's laggy and dark), and keeps feel kinda cheesy to me. Plus, it's hard to get items better than an +iron longsword+, and I really would like to work my way up from passable gear to really nice gear. Custom reactions might help here, though (e.g., the sorta thing that Wanderer's Friend does).
2) Make use of reactions and interactions! Let me do interesting things other than turning woodland critters into food and/or undead minions. This could tie in quite well with #1, above, in a number of ways.
3) More tough enemies, that are more easily found, and less random filler. That probably means reducing the realism by replacing many fairly normal animals with randomly omnicidal monsters (but that's what most combat-centric RPGs do, anyway, and that's the type of game that best sums up my feelings about DF adventure mode at the moment).
4) If dodging and shield use are gonna be so damn important, give me a non-grindy way to increase them in the course of normal play.
Of course, the first three are all things that could be handled with a full conversion mod, and that IS the sort of thing I can do for myself, so I think I won't gripe just yet. Even #4 might be susceptible to modding, although experience potions (or the equivalent) would feel kinda lame.