More things:
1. Though I've yet to reach the Dungeon campaigns (slow, I know) there appears much more power in Destructive Magic compared to the other magic trees. This is definitely an improvement.
2. Marketplace
![smile :)](/forums/images/smilies/smile9.gif)
DaemianLucifer pointed out just how useful the Heroes IV Marketplace can be. The Heroes III / V versions just cost way too much gold.
3. Flaggable Windmills / Water Wheels, etc. This is something Heroes IV has over Heroes V. It greatly reduces the micromanagement and saves time between turns.
4. Ability to use creatures alone as an army, another thing Heroes IV has that Heroes V does not. This aids greatly in early-game exploration and (at least for Heroes IV) allows you to use two heroes in an army as soon as possible.
5. Much more powerful war machines is an improvement for Heroes V.