First, I want a fantasy game that is dynamic and cinematic. I don't want characters to move up to a monster and keep making to hit rolls - I want to see the sword slice down and watch the blood spatter on the wall. I want acrobatic leaps onto the backs of bucking beasts and to have my character barely hang on to daggers plunged into the beast's shoulders upon impact. Finding this level of cinematics usually comes at the expense of crunchy and tactical play - it's hard to make this kind of stuff happen with a lot of rules.
Second, I want a fantasy game that's gritty. In a land of sword fights and black magic, death happens and eyes get poked out. The problem here is that gritty games often have lots of rules - it's pretty cool to roll the dice and find out exactly what location on your body gets hit. Can a fantasy game be both gritty and over the top cinematic? I don't know, but I'd sure like to find one.
Third, I want a fantasy game that's about more than taking treasure and getting XP. I like my characters to have goals that are well tied into the setting...like the desire to go on a mission of vengeance for the abandonment the party next to a wyvern lair. In fantasy settings, I favor having somewhat grim or seedy personal goals.
Fourth, I like to bring the epic also. No fantasy setting has every inspired me as much as LOTR (and this probably goes for many others out there as well). As both a GM and a player, I love the possibility of changing, saving, or remaking the world. The macro stuff is what got me into rpgs in the first place. In a land where magic, powerful artifacts, and ancient evil are just over the horizon, I feel like games are lacking when they don't embrace these elements. I recognize there's another tension here between the epic and the personal (and possibly unsavory) goals. But that's the kind of tension that makes characters tick in the best kind of literature and that brings games alive for me.
Fifth, along the lines of bringing the epic, I want large scale stuff to be at least some recognized part of gameplay. I just got a copy of the new game Reign by Greg Stolze, and it has a nice set of rules for dealing with "companies" and their interactions with each other. While I'm not saying this system is the holy grail (hell, I just read it last night), it is certainly aimed at scratching the macro itch that I have. What's the best part of the LOTR? The armies clashing into each other. The movie's nothing without it's strong actors, script, and characterization. But the epic battles and struggles for power over the land are at the heart of fantasy for me.
Finally, it's worth noting that I don't really care as much about setting. In general, rpg setting materials don't inspire me all that much (I know this isn't the case for Pat and probably many other gamers out there). So, I'd rather create a setting for myself that contains the elements I find interesting. I mean, if you've been playing rpgs for long enough, can't you just spout out "desert world" or "cities floating in a gas giant", start drinking a cup of coffee, and write down a page worth of ideas come out by the time you get to the bottom of the cup? Though, I do like it when games throw out one liners or examples of cool situations that highlight cool aspects of the rules (like parts of the Dark Heresy PH).