I haven't yet purchased this so I wont comment too much on what I have seen in the demo. Empire was the natural progression for CA as far as I was concerned - with muskets/canon being available latterly in MTWII. You could see the way they were going. Which isn't a bad thing - but as is nearly always the way with a game based on epic foundations such as this, it will require some serious modification and or patching. I for one am trying my best to hold off buying it until there is a 'Realism' mod for it.
But the problem as far as I see it anyway, is the engine they use - how does it work with thousands of musket firing troops? Or the naval battles - or even the tech tree. People are saying they should have upgraded the engine prior to developing this theme as it is beginning to show its age and limitations. As for future expansions - where will it head next? I can't (or rather hope) it won't go into the WW1 era - I don't think the Total War engine can cope with musketry/gunfire as it is, but maybe the American civil war would be more practical using the current designs. Me personally, I hope they return to the classical era, to Rome, or maybe China, somewhere like that. I thoroughly enjoyed Rome Total War and I loved Medieval II, so anywhere in that direction would be good for me.