In my opinion, there a few things that MUST be changed for a sequel.
I'd like to see it be a lot more RPG'esque, by revamping the skill tress to actually make them interesting, and gives you more than 3 different ways of doing damage (shooting, grenades, character skill).
A much greater variety of environmental aesthetics would be brilliant, as I must admit I got bored of the same grey-brown textures used for most of the game.
The gameplay in general was fun if not TEDIOUS, although I'm not sure how you could change the fact that running backwards and sidestepping charging skags is the most efficient way to win. Maybe add some sort of active dodging ability or short sprints and the like.
Another aspect I felt that was lacking in Borderlands was the gunplay - I found that a lot of the guns lacked a certain oomph. I haven't seen many games get this right but when they do it adds so much to the experience.
What do you think needs improving?