We need more X-COM, period. Some people suggested they'd like to see a remake of Terror From the Deep, only sticking closer to the Cthulhu stuff that inspired it, but personally, I'd like to see some tie-ins to the Deus Ex storyline, seeing how Human Revolution and the original game have plenty of technology that could have been based on alien research. They even have Greys in there, after all. An alien invasion and a protracted war might be just the thing to push society to the brink and tear nations apart as seen in the original game.
On a somewhat sillier note, since some people keep pointing out a few glaring similarities between X-COM and the likes of the Power Rangers, I can't help wondering how much more awesome X-COM would be if they had access to giant robots of the non-amputated-cyborg variety, as well as some of the flashier stuff. After all, the original X-COM game was heavily inspired by a campy 1970 TV show called UFO.
One aspect of X-COM I particularly enjoy is the idea of humanity banding together to face a common, greater threat, instead of just the typical "X Country Saves The World" glorification. So what would happen if not only human-alien hybrids and androids, but also aliens from other species wanted to join the fight against the Ethereals?