A simple button that will undo the previous move. This would resolve so many problems, such as when you can't take a move back after breaking up or combining a stack and sometimes have to reload the page. It doesnt seem like it would be hard to implement either.
edit*
Also an "Undo all" which will erase all of your moves including buying units. This happens anyway when you reload the page, so I imagine it can be done within the game interface itself.