I think sappers make sense, but there is a need for some counter measures (and I don't mean a sufficiently deep wall or moat), like the ability to cause smoke in the tunnels to suffocate and kill the sappers (magma works as well, but might be hard to get at, and smoke as a countermeasure has been used historically). Likewise, enemies could send sappers against your walls above ground as well, under protective cover of appropriate machinery. This would also naturally lead to siege towers and movable invasion bridges and ladders. Enemies should also be able to breach/destroy walls with siege machinery (probably catapults, possibly upgraded to onagers).
Since dwarven fortresses can be completely under ground, invaders should have some means to get in anyway.
Invader capabilities should be controllable, so if you don't want diggers, remove that capability.
Elves should have longbows that are as deadly as the historical ones were (i.e. penetrate full plate, a long range, and a large rate of fire, but requiring a huge amount of training before they're of any use (elves have a lot of life during which to train...). Some humans should use longbows as well.
Armies and individual groups of soldiers should be controllable, not just rush headlong into battle. Shield walls and the like could be used against hordes of undisciplined barbarians (but bigger at times: think goblin trained and equipped ogres in addition to trolls).
I wouldn't mind a few additional civilized races, possibly some that are only encountered in the caverns. A clear candidate for a super "race" is the circus. Multiple intentionally playable races would be nice (playing the bugged save where the embarkers turned out to be elves was interesting and surprisingly playable, given they're not intended to work (yet)).
I definitely like the cavern biome idea. There are rudiments there (like treeless mud covered caverns, for instance), but it would be nice if it was fleshed out. The DFHack region-pops script displays what creatures are in the region, and it does not (at least not always) list all species. I encountered Green Devourers for the first (and only, although I had two encounters) time a couple of weeks ago, despite over a year of play. An underground wool source (apart from the inaccessible trolls) would be nice. Underground rivers could be interesting (and might even allow for underground boat transport outside of the embark area).
The ability to actively trade with other settlements would be nice, but that, as well as conquests and civilization wide control probably would require a mode where you don't control each fortress at the level of control as you do now, as it would be very messy to juggle multiple fortresses concurrently. However, construction of consecutive fortresses that were competently managed automatically such that its capabilities (in terms of production, defense, and military training at least) remained intact might work.
More machinery to do clever/stupid things with is nice, of course.
I've thought of the idea of moving soil to reshape the terrain to your liking (including hanging gardens, of course), and you might replace muddying stone with e.g. grinding stone to sand that you then moisturize.
Magic is a huge can of (interesting) worms. In many settings you might wonder why people work at all, given the immense power of magic, and why have armies clashing when the super mage can just get annoyed and destroy them all with a wave of the hand? Balancing magic is a delicate task.
A bit more challenge in the food industry, without adding a lot of micro management. It should probably be tuneable to allow for a reasonable challenge to the experts, while not making it impossible for the newbies. As it currently stands, my main problem is to curb over production. Leather, for instance, is not a practical locally produced source of clothing because of the immense mounds of meat and bone generated by the huge herds that need to be slaughtered. That's a bug, to some extent, however, since leather currently don't have a size (or one size fits all, if you prefer).