This sounds really mean, but I'd kind of like to see Sherlock's faith in John challenged. John has had plenty of reason to doubt Sherlock in the past, but has been steadfast. Sherlock hasn't had reason to doubt John in the same way - John has his faults, but he's pretty upfront. But of course, I would like John to come through for Sherlock in the end, in a big way, and have it resolved by the end of the series.
I would like somebody to be led astray be dark temptations of some sort. It doesn't need to be sexual (although sexual would be fine!), but would involve them wrestling with their morality, and sense of self, and relationships with others and so on. It doesn't need to be Sherlock, but I suppose would have to be a main character. I just like this kind of story, and I think there's more than one character who could fit this. I love internal struggles and secrets and going to the dark side, and that sort of thing.
I'd like to know why Mary became an assassin - although it may have been as simple as being a spy, and extending the job description. I want to know what her old identity was, if she has family, etc. I really want to know what she meant by saying people like Magnussen need people like her to kill them. Who were her targets?
I'm more than happy with the seeing the really emotional, "human" Sherlock - I love it! But I'd also like to see him be super-clever, and regain some of his arrogance. I want him to "win" in the end, and not in the way he did against Magnussen. I'd kind of like Sherlock to get rid of a villain by using their own weapon against them, a bit like in The Speckled Band. I thought he did that with Moriarty (using his mind games against him to deliberately talk him into suicide), but I've never been 100% sure.
On the same theme, I'd like a villain who talks people into their death - I loved ASIP, but I was so disappointed that Jeff Hope got people to take the pills by threatening them with a gun. I was so intrigued to find out what he had said to these people that would make them thing life wasn't worth living. I suppose I'd like to see a villain using mind games without threats, just manipulation. I'm holding out hope for Culverton Smith, but who knows?
Those are just a few!