1. Tamed creatures will not follow you through certain obstacles such as climbs. It would be nice if the tamed animal would follow you through a climb. This applies for certain animals that are locked behind climbs such as direwolves.
2. There are many animals that you cannot tame, such as reptiles, or even striped badgers. I would like it if we had a more expanded available pool of critters to tame and reptiles be revisited, at least.
That's really about it, though. The current following system means it's very easy to lose an animal when taking them to a place you want to go with them.