I'm a huge fan of the TW series. The epic scale, historical accuracy and replayability make it a thoroughly enjoyable series. I'm also a history buff, as I'm sure most TW fans are, and while I do find the eras TW has explored (medieval europe, feudal japan, ancient rome) incredibly fascinating, I would love to see the series delve into a less explored area of history.
Some thoughts in no particular order
A Mayan/Aztec era game would be fun, the more compact setting would make the game feel more fast paced similar to Shogun. The draw back is no cavalry but I think this is more than made for by the idea of a bunch of jaguar warriors ambushing each other in dense jungle guerilla warfare.
Sticking with Pre-Columbian civs, a plains native american game taking place in 1400 would be so dope. A vast diversity of tribes from pueblo to desert dwellers, to mongol/hun like plains tribes, to powerful confederacies like the Iroquois. NA are a fascinating bunch of people groups so rarely explored in RTS games.
The indian subcontinent has a long and fascinating history which I would love to see in a TW game!
What are your thoughts? What new and unexplored setting would you like to see for a TW game?