Some things I think "Z" should have (some of these may just be repeats of what others have said, but they're still what I'd like to see):
A New plot. Maybe like B2W2 when it takes place 2 years later, and in a different starting town and a different player character? Just something along those lines.
A lot more post-game things. This was the most disappointing (sp?) thing about XY. Maybe something like with B2W2 when they gave us the PWT, or with B1W1 and the cities we could travel to (XY only gave us that one city, and its sole purpose was for competitive battlers like myself, and for a place for Serena/the other guy to stay and be re-battled). I'd be OK with the Legendary Birds if they made it possible to track them while they are roaming (I've only encountered them once. ONCE.). And it'd be nice if we could catch the Lake trio and/or the Kami trio. Or maybe some version mascots like Dialga/Palkia? It'd also be nice if, oh, idk, we could get nome new legendaries? Legends other than the three "secret" ones in the coding of XY. At least give us a Mega form or some other kind of form for Zygarde.
More Megas. A list of the ones I'd like to see: Zygarde (mentioned above), Mewtwo Z (Psychic/Dark, and please let it actually be intimidating), Megas for all the starters of every Gen, including the current one (that's a tall order, but they can do it, I hope. Maybe Serperior could finally be Grass/Dragon and legally have Contrary, and be able to learn Draco Meteor?), Darkrai, and another Mega for Absol (that is Dark/Fairy or Dark/Flying or even Dark/Psychic. Just...something, please), Genesect (Mewtwo's not the only Pokemon altered by humans), another Mega of Gyarados (sp?) that is Water/Dragon, Raichu (I'm shocked {XD} they didn't already do this), Flygon, Tropius, and Megas for the rest of the Psuedo-Legends (So Hydreigon, Metagross, Dragonite, Salamence, and the new slug one whose name escapes me atm).
Some previous alternate gender characters. No cameos. Please. I want them to possibly be post-game stuff, or possibly be side quests. I don't care. I just want characters like May and Dawn to be encounterable. Especially Dawn, since Diamond was my first Pokemon game and will always be my favorite (plus I like the D/P anime the most by far, thanks to Dawn who's my favorite character). Maybe we could battle them with a similar basis of what Red's team was. That is, give the alt. gender character(s) the Pokemon that could be obtained in their games with in-game events. So May would get Pokes like Castform and Kecleon, and Dawn would get Pokes like Lucario, an Eeveelution, and Togekiss. And of course, they'd probably get whatever their starter was in the anime, but in its final evolved form.
More interesting player customization. I have yet to see any alternate clothing that I actually want to buy and put on. None of them ever interested me, and I played through the entire game and never bought a single clothing item. Of course, I'm not much of a "look as unique as possible" kind of person anyway, so maybe that's not so needed for me. :P
Evolutions (not Mega) for deserving Pokemon. I'm talkin about Pokes like Luvdisc, Quilfish, etc., and a pre-evo (or regular evo, I suppose) of Tropius, if it doesn't get a Mega form, that is. Basically, anything that has no evolved or pre-evolved form that isn't Ditto and doesn't already or eventually have a Mega form.
Make hidden abilities (even Chandelure's and the Unova Starters) easier to obtain. 'Nuff said.
Finally, the second-most annoying/disappointing thing about XY was the incredible easiness of it. Give us a challenge mode or something, and don't make it unlockable after the Elite Four and make us have to trade keys with someone to unlock it at the beginning. What kind of challenge mode is it when we get through the entire game and then get the challenge?