How to make wildlands worth opening
So the wildlands are currently kind of silly to open. If you've got an army strong enough to kill one of the big bads, you could just as easily take said army and kill all your enemies dead. What's more, if you do decide to kill them, the benefits of doing so are very minor: some resource nodes (which I probably already have plenty of) and some land for settling - and why settle on new land when I can take my enemy's great city that he's so courteously built up for me?
I think the game would be improved if there were different upgrades/units/techs that made your army good at killing big monsters versus killing armies. Sort of like the way the overpower ability makes increasing numbers not the best way to deal with monsters that have it, or the fact that sunder is (literally) useless against armies, whereas it grinds to dust Mr. Grinds Mountains to Dust quite a bit sooner in the game than might have been intended.
There are a couple of ways I could see to do this; probably the best would be to make some "fights monsters" branches on the tech/unit trees, distinct from "fights armies" ones. Or make some mechanical tweaks - for example, say that no matter how much damage a single unit does to a troop, they can't kill more than one member of that troop with a single attack, unless they've got a special ability that says otherwise. Such a change would instantaneously make a single skilled and heavily armored knight a poor match for an army of peasants, but an excellent match for a dragon (who, in such a system, would probably deal area damage and one-hit-KO the army of peasants). You'd then be faced with the dilemma of building up a capable monster-hunting party or an army-fighting one. And voila, an interesting choice is created.