It would be nice if traders could bring more than like... 1 bar of a metal with them per animal. Since my fortress site is devoid of any useful metal besides copper, I've been trying to import iron/bronze/steel... but the caravans show up with 7 or 8 animals with 1 bar on each of them. Not too useful.
Also, as other people have suggested... it would be nice to be able to trade for uncut gems, and/or use cut gems for more things. Bags with sand in them?
It would also be nice if the counteroffers would not include things currently banned for export. Very annoying to fail a trade because the traders want the banned things and won't accept other items instead...
And will the stupid humans stop bringing me 6 iron anvils every year? And gear I can't use.