Where do you go...Wherever you want?
Outside of (art) (mega) project and military ideas, you can also embark early in the history of the world and use taverns and libraries, then watch as the stories, music, written content and relationships of the worlds are added to. Or you could try to research and make accessible poorly-understood behaviours, like crosstraining benefits of all the labours, or easily-adaptable passing minecarts through walls.
Saltwater:
Yeah, they can't drink it, but dwarves can drink alcohol and move faster in general if they have alcohol to drink semiregularly.
You should build a still, carpenter's or craftsdwarf's workshop and farm plot, grow some brewable plants on farm plot (plump helmets underground are quickest) with a Farming (Fields) labour, use a carpenter or stonecrafter or woodcrafter to create barrels or large pots, and then have a dwarf with Brewing enabled brew the plants into pots at the still.
Once you have that solved, water is still useful for treating injuries to prevent infections, but you by no means need to save injured dwarves to function - if they die, there usually will be more migrants, unless your civ is dead.
As for purifying it, don't even need pumps, just let the water through an u-bend. Or dig to aquifer/caverns, which will have non-salty water. There's likely also some stagnant pools on non-ocean biome that you have.
@Thisfox: you mention contaminated ground, but have you seen it in DF2016? I started playing early this year, and have yet to see it once, despite embarking on ocean numerous times.