I would like to see:
-more customization, of clothing, cars, appearance
-safehouses that you can purchase like in VC and SA
-more Easter eggs (who doesn't love Easter eggs?)
-parkour, as someone said.. it'd be pretty cool to jump on rooftops, climb fences and buildings, pretending to be a ninja :]
-the ability to use anything (anyone?) that you can pick up as a weapon and/or shield
-the more crimes you commit, the more infamous you become; newspapers have headlines about you such as "Mysterious serial killer haunts city's prostitutes" or "Burger Shot farter strikes again" or something like that
-swimming underwater would be fun, but not important
-a few suggestions about police:
-I've always thought it weird that after you commit a crime, every cop in the city immediately knows your location and knows that you're the perpetrator. I once caused mayhem inside an internet cafe, and there were no police in the wanted radius at first, but after I went out on the streets, they magically knew it was the Eastern European man with the funny accent right away. Racists.
-we should be able to hide from the police, like in a warehouse or in a hedge or something, and after a period of time, if the cops don't see you, you're free (even if you're still in the wanted radius).
-killing a cop shouldn't immediately net you two stars. How would anyone know you've killed him (if he's alone)? Sure, they have radios but that gunshot could have come from anywhere, the people on the other end can't see it.
I've also never seen children in any GTA cities.. although I know they'll never be added, it'll be just too controversial.