I always wanted to see more of Midgar, like the Sectors we didn't go to. I mean, wouldn't it have made sense for the key to Midgar (actually called the "Key to Sector 5" or something) gave us a chance to explore more of Midgar - like the places we'd already seen, and the places we hadn't seen?

Kind of a missed opportunity, if you ask me - it could have been like "Hey, here's the Midgar you didn't see back when you were doing what the game was telling you to do!"