Turn based strategy
Not like 4X but smaller scale tactics games, like Disgea or Fire Emblem, or especially Advance Wars
Small-squad tactics have been well served in recent times (the XCOM comeback, Code Name: STEAM, and Invisible, Inc. have all been great) but it's true that other than Fire Emblem and the already dormant Advance Wars, there isn't much going on in the space of turn-based strategy with mid-sized armies, large battle maps with lots of vision and positional control, and resource/economy management on the field.
I always thought I wanted to see more 4X, but I think that's a genre short on new ideas. I've played just about all the big hitters like GalCiv, the Endless games, and of course the current generation of Civ, but all of them have been missing a certain punch or sense of completeness to justify the time expenditure they demand; they're games that suck up a whole lot of time but don't leave a sense of longevity, of having more systems to figure out and experiment with over many iterations. Since Civ IV the only really meaningful transformation in the genre has been the standardization of hexagonal boards. So I feel as though 4X has been lacking and in need of new games even though the industry's output, in terms of quantity, has been steady.
RTS currently has a vast, gaping hole where long, slow, macro/territory-oriented titles like Rise of Nations and Age of Mythology used to be, for builder-style players who want something more patient and empire-scale than StarCraft.
Cooperative tower defence is the thing I miss most about Warcraft III. It always was the best form of TD, and it didn't survive the transition of TD development into the casual Flash/mobile space at all. Even the SC2 arcade heavily favours competitive or solo formats, and there simply hasn't been anything to replace the likes of Wintermaul.
Oh, and I can't forget:
2D side-scrolling stylish character action (i.e. Viewtiful Joe). We've been well served in 3D thanks to Platinum, but VJ occupied a special place that nobody anywhere has managed to emulate.