Dwarf AI needs a look at, they do some really stupid things that new players have no idea how to stop. Perhaps flag items dropped from battle not to be picked up until all fighting is finished? Maybe add the option to designate where a dwarf stands when he constructs/deconstructs something? Make dwarves smarter concerning large building projects so they don't construct the nearest preventing them from completing other connected buildings (eg, large walling or channeling projects). Why don't dwarves swim out of water it looks like they should be able to? Why don't they clean up after themselves or break? etc.
Production, a move away from batch production to event based would be nice. It can be frustrating having to micro industry to keep production rolling, eg, playing on a map without wood will leave you with low numbers of barrels, meaning you constantly have to manually juggle farms, butchering, cooking, milling so you have enough free barrels to brew drinks. What about managers for each industry to oversee production levels?
Tutorial, include a prebuilt world with DF, including a functional Mountainhome. Instead of the current embarkation screen let players wander around Mountainhome and see how a working fort works, what various tasks do, etc, then ship them off to a map with notes built in about its features. Also change nobles from random mandates to helpful goals such as creating rooms for all dwarves, improving the food industry or army, etc.
End game, as the game wears on you have less and less things to do other than repel invaders. More diplomacy, trading, crises, etc, maybe even something as simple as allowing me to order my legendary dwarves to spend 10 years creating some magical artifact. Whatever, more to do outside combat please.
Im sure people have mentioned the UI and basic tiles implementation enough by now.