Caravans need a bit of an overhaul. You can't click on the functions of any tile that has a caravan on it. It's like the caravan trumps everything on that tile until it's moved. I did have a city in my latest game that simply would not accept any caravans. I couldn't move any of my caravans to the city at all. Couldn't even click on the city to bring up options (it was an opponent city).
TAB should not cycle through caravans. This is so annoying. There should be a separate hotkey for cycling through various types of units.
I hope they add in more road graphics at some point. The purely linear roads are really an eye sore in some parts. Also, the algorithms for road placement need to be updated a bit. Often I get a zigzag pattern of roads with circles along a particular path that should simply be a straight road. Again, this is more for aestetics than anything.
It would be nice to have more control over where the roads went though. Often time an existing road will simply be used whether or not another path would be quicker. I had a few cities next to some opponent cities and the pattern of the cities sort of made a U shape. I wanted to connect my 2 cities (top ends of the U shape) directly so I sent a caravan from one to the other, but all it did was connect a piece of the new road to the existing road that went completely down and around through 2 enemy cities. Those caravans were destroyed quite quickly.
Caravans should respawn automatically when they are destroyed. It becomes cumbersome when you have 20 cities and suddenly 3 caravans get destroyed and you are clicking on every city to see which ones lost caravans. Then you rebuild the unit and, because the game doesn't tell you when a unit is built, have it sit there for a dozen or so turns before you remember that you were building them in the first place. Then you have to try and remember which city they were previously going to (which isn't that big of a deal because establishing a new trade route gives the option of making new roads to new places anyway or creating a longer trade route for more benefit).
Ultimately caravans need to be more integrated into the game system and far more automated. For the most part they should be mostly transparent to the player after their initial creation. Perhaps they could automatically adjust their own trade routes as the game progresses. Could even have a threshold for when to trade with foreign cities (like stop trading with a city of an opponent that just went to war with you). Should be based on city size and distance and establish new roads and routes as better possibilities arise.
Those are my thoughts on the caravans anyway.