Some have been better than others. I have played about ... 7 dragonball Z games which belonged to my brother, 'Ultimate Battle,' 'Final Bout', Budokai Tenkaichis 1 and 3, Raging Blast 1 and 2 and a roleplaying pixelated game which I highly suspect is Buu's Fury, but PC ported due to technology. (I really enjoyed that story based game.)
My personal favourite was Budokai Tenkaichi 3. I liked the huge variety of characters and costumes and auras. (Being about 12-14 at the time, my favourite hobby on that game was to make my own storylines with the characters and characters like Goku(Mid) and Teen(not really) Gohan subsequently became Teenaged Goten, Adult Goten etc.)
Raging Blasts 1 and 2 offered a HD approach to things but, although fun for a while, did not keep the same levels of addiction BT3 had. I would like to see the story modes enhanced as they have been in Ultimate Tenkaichi, but more so than that.
Character creation was something I had yearned for ever since I first played Dragonball Z games. Who wants anything more than to create their own stories with their own characters?
But this was limited to a few basic traits in Ultimate tenkaichi. I want a far more detailed system, like you see in wrestling games or in Tony Hawk, although the games themselves are terrible. (Saints Row?)
I want female characters. I want different faces.
And one thing that is making me reconsider whether to buy UT is the abscence of (debatably) major characters like school Gohan and GOTEN and chibi Trunks. How can you have Gotenks without Trunks or Goten?
You could say that I could create these characters but the creation system is too limited. People have tried but the face of the Light class is too sharp and adultlike. We need calm faces like Goku's and Goten's happy faces.
Costumes and characters. Kid Goku definitely, GT Goku debatably. Loads of What-Ifs. Return of SSJ3 Vegeta

I would like to see more GT characters (although I spit the word GT) and End of Z characters, particularly growing Goten (and trunks if you want to fight him against his alternate future version). I have never in my life seen a game which I could play as Teenaged or GT Goten in.
Theoretically possible transformations like SSJ2/3 Gogeta/Vegito and SSJ2 Gotenks. (Nothing would make my day more than a Super Saiyan 2 Goten/Trunks but that's not going to happen.)
Costumes for core characters to be modifiable and expanded. All the costumes a character is seen in (at least in the manga) to be made

I would like to see Kid Gohan's long-haired Super Saiyan.
I don't know about main game mechanics, but a proper story mode would be nice, like full-blown anime-ish and not just fighting. A roleplaying game more than anything at least in that aspect since story fights are pretty poor - it's fighting with friends you want really.
But yea, long post.