On the Bell of Lost Souls forums, someone asked, "If you could change one thing about the game, what would you change."
For me, it's tough to pick one thing to change in Warhammer 40k. I think there are a few things that need some tweaks, like the Allies chart (Grey Knights and Necrons?) or Eldar Waveserpents (a troop transport- is one of the best weapons in the game.)
The old models have so much character! It's hard not to like them but I know a few new players who like the Mecha or Chaos armies who think the Squats are just a gag... but I can't help but pick up any models whenever I can.
For Fantasy, I'd 86 the rule about losing standards when you break from combat. Maybe change it to just rank and file models and not Army Standard Bearers. It seems to harsh to lose a valuable model, a chunk of points AND give your opponent more points for a victory condition. I think that's why so many people are building monstrous/elite hoard units with a BSB, and General with Crown of Command. If you don't, you risk too giving up too many elements on a roll of 2d6. I hate to see so many cookie cutter lists with BSB and Crown of Command combo, it's become automatic in the tournament scene.