None of those damn side missions, at the start it was fun, but by the end I hated it.
More customization of your gang and character (the character customization should be delivered in a less overwhelming way)
A cover system while still maintaining the hostage grabbing thing.
Better graphics.
A more memorable city, seriously, the whole city looked the same.
Less annoying cops, while it was nice that at the start the didn't immediately blast you, they were still crazy, and the higher wanted levels were insane.
The ability to have a good car chase, one of the reasons that I keep coming back to GTA4 is that the police chases and shootouts are really fun.
A grappling gun. Sort of unnecessary, but still, grappling guns are really fun.
A choice in terms of the story, maybe I don't want my awesome cockney psychopath to SMOKE CRACK OUT OF A BROKEN LIGHTBULB.