What I find the most fun is building up heroes  with levels and loot and then breaking things with those heroes.   It's a big reason why I'm enjoying TOME so much right now.

In general, I love building in your games- in GC2, it was building up planets and bigger ships, In LH, the heroes are the ships.  It's why I never liked the hero XP split, it meant building less heroes.

Being immersed in the world.

Sovereign creation and choosing the path to level up.

Building an empire and choosing what I need to build.

The variety of quest

The turn-based mechanics

Randomness of treasure and monsters/replayability

The early and mid game sense of danger, when you can still get killed.

1.Roleplaying and Lore building.

2. Modding.

3. City management, especially specialization.

4. Tactical Combat.

- Creating races and sovereigns that seem to work together. Lots of customisations that change the game-play in different dimensions to add flavour and different strategies.

- Customising units to suit my strategy, levelling heroes

- Building up towns to specialise in different things, depending on their relative geography (other cities, enemies, resources, etc)

- Managing my economy in an environment where there are many resource categories (not just gold and mana, but iron, horses, etc).

Turn Based Tactical battles

Casting spells

Trying different skill paths

• Building up my heroes and armies and finding items to synergize with them in cool ways (for instance one of the ridiculous legendary shields for a tank character).
• Tactical battle in general, and various approaches of raw strength vs. swarming enemies vs. magical solutions.
• Improving my empire such that it supports my heroes and units (with better magic items, spells, etc.). In general I find the military side of the game a lot more compelling than I do most 4x-type games (Civ V for instance I am mostly a builder and only do military stuff when I have to), mostly because I can create cool elite "overpowered" feeling units and upgrade my heroes.
• Exploring and finding cool items and quests in the world (I feel like LH is good at this but still feels a little sterile and lacking compared to say Heroes of Might and Magic, the earlier ones especially, which really nailed the "go out and build up your power by exploring" feel for me). I feel like there should be even more items and even more power increases for my heroes, even if they are more granular than they are now.
• Wildlands! These are extremely fun, and very rewarding, they are like the exception to my last point where the game absolutely shines in the loot and exploration aspect. I wish there were more or the rest of the world was more like them. The stuff you get for beating Wildland bosses is extremely satisfying.

Are we talking about a specific game or heroes in general. I like to national and world wonders in civilization 3, and thought it was better when they invented great people. Great people added a customization to a dry game. I can't see how adding great people wouldn't be better. As far as I can see the only great people that the game designers talked about were heroes.

I think the current combat that only adds hit points when you level up is dry. That is at least one thing Sins of a solar empire had going for them is that you got added abilities when you level up. Heroes would help add flavor to combat. As far as I can tell Panzer general gave the best skill return for your work. Heroes would add flavor to combat.

If you wonder what I'm talking aboutfi Panzer general I'm talking about the 5 red stars turning into 5 gold stars this was increased by fighting battles, and at 5 gold stars you can add logistics to your armies. In galactic civilizations it would be added to fleets instead. My main just is adding abilities not just hit points when you level up. A great person or heroe system would give value to people you would either earn or buy. You should make these where they can be captured. This would add flair.

Playing dress-up. I'll be honest. The thing I like most about LH is having my sovereign try on different outfits. Same goes with my heroes and my troops. I spend a lot of time in the unit creation screen trying on different outfits. It really feeds the creative part of me.

The most fun things I find are

Making my heroes unbeatable using various mechanics; and

Using spells to completely unravel a rival's plans

curious to see what your favourites are Frogboy!

I'm a builder. In any game I like building up my stuff (in FE that would be heroes, cities, empire) and cleverly outgrowing the enemy. But for this to really be fun there needs to be a challenge along the way. Some AI should be trying to take advantage of my early game military weakness (because I am investing in economy/growth for the long term) while other AI should be likewise building up stronger (through expansion, investment or conquest) so that when I reach late game there is one (or maybe two) other dominant AI for me to have a clash of empires with.

Ideally that clash wouldn't be resolved in a single battle either (this is a big problem in Eador Masters, fun fantasy building game but much of it isn't very relevant because in the end all that really matters is can your top hero beat the AI's top hero in a straight fight)

I enjoy Questing. But soon run low on wild monster's to fight. 

My town is like my home, and i enjoy having a few, but i don't usually play with alot of city's. 

Just having a few or enough, rather than alot. 

Special unit's i get in game I really like, i wish i could invest in them as well. ect. Bears Spiders.

The funnest part is warring with other nation's by far, conquest and epic battle's, but i feel like city's are missing something.

I just expect more from castle battles. 

Anyways hope you read this and it is helpful it's my insight to the game and i've been here since elemental.

Plus Marriage was cool. I don't know why but it was fun.

There are many aspects about LH that I enjoy...

Some of my favorites that I have in no particular order:

• different visuals when changing armor / weapons.
• magical effect animations. (bigger the better)
• attack and blocking animations (would really like to see soldiers engaged in melee)
• World changing features (sprawling cities, raising land, lowering land, volcano creation)
• Questing and something interesting to do from the beginning of the game
• Summoning
• Pseudo tactical battles
• Unit size differences (I want ogres to look and feel much bigger than people)
• Story / lore

The great combination of empire building, heroes leveling, being immersed in this rich world with so many creatures and unique quests, the hard fight to survive and grow your kingdom (I'm loving the hardest of the settings/difficulties). I also like that the art style is not exaggerated or excessive looking like in many other modern RPG/Fantasy Strategies. It looks believable and charming.

What NorsemanViking said.   

Building an empire and conquering the world with armies + heroes.  The whole 4x thing, not just one thing.  It's the combination of it all that makes the fun.  But...

If you insist on one thing.... I like the unit designing.  It's great fun.  Taking a base soldier, changing the looks... colors, kitting them out with various weapons and armor, throwing in a trinket and a suitable couple of traits... naming said unit and then getting the first one off the production line and into battle..... that's fun.

Building up Heroes.  I'm a huge fan of RPGs, and I love making different builds for a variety of archetypes.  The more possibilities the better.  I'll even pair up two or more heroes to see how their abilities synergize, even though there is a XP hit. 

Tactical Combat.  I'm a huge fan of turn-based tactical combat games, and LH has some pretty fun combat.

Exploration and Expansion.  I enjoy exploring, and LH has a pretty good random map generator.  Due to the limited number of areas that can support a city, coupled with the exploration, I find I really enjoy the early game of wandering around looking for expansion sites, then deciding which one(s) I want to expand into.

Epic Quests.  Some of those late game quest chains can be very fun, especially if I need to wander around a bit and invade enemy territory to make progress.  Quest chains to find certain heroes are also quite fun.

Wildlands.  Create an amazing army, test it in the various wildlands.  Sometimes I just want to have a string of huge fights, and the wildlands allow  me to tackle huge challenges.  There is also something that makes wildlands much more fun than just invading a powerful nation with a large number of armies.  In fact, the Wildlands map in the DLC is one of my favorite maps to play on.