There needs to be more Steampunk.
And more urban fantasy, like Dresden Files or WoD style.
I'd also like some prohibition-era gangster stuff, like GTA or Saints Row but with fewer whores, more style, and tommy guns and dynamite instead of assault rifles and grenades.
And something with giant mecha; the only ones I can think of these days are the Armored Core series and those tend to feel more like a superhero or something than a walking tank that you pilot. Or Iron Brigade, but that felt less like a mecha and more like a reskin of the standard boring FPS in power armor.
And while we're at it, why haven't there been any real space games lately? There are plenty with space as a backdrop for a bunch of stuff by individual characters on the ground or within a ship, but none where you can fly a starship around in 3D.
We need more cyberpunk, a good Shadowrun or Ghost in the Shell or something.
A space western done right would be great; something Firefly-ish, preferably with a Fallout/Elder Scrolls style open world (galaxy) to fly your rusty little ship through, scraping by on your wits...
Ooh, if anyone's heard of the Temeraire series, that'd make a great setting. For the most of you who don't know what I'm talking about, it's an alternate history of the Napoleonic wars, but with the addition of dragons. As in, they outfit a dragon with a harness, put a dozen soldiers with rifles and bombs on their back, and send them into combat like a flying ship. Think Aubrey-Maturin, but airborne with an intelligent vessel.