As the development of Dwarf Fortress is currently in the bug fixing period between two expansions, I thought I put this under 'Suggestion'.
Still in an older version of the game I have a smoothly running fort in a location with two evil (and one good) biomes. Regular zombie, goblin and forgotten beast invasions weren't that difficult to take care of, as I have some Axe Lords equipped with exceptional/masterwork steel armor and weapons. Actually, I only lost two of them.. to this bug:
http://www.bay12games.com/dwarves/mantisbt/view.php?id=7444 My dwarves have embarked to a very special location, that also includes a volcano and some layers of aquifer. After I had the fortress running, I started to a magma channelling operation to remove part of the aquifer, and in the cave claimed this way, I build one of the barracks - the channel with the magma was only separated from the sparring area by a 1-tile-wide gneiss block wall. Two of my sparring dwarves must have teleported through it - at least I found their steel weapons and armor in the magma channel, their bodies were nowhere to be found.
Of course, this is one of the bugs for which there is an easy workaround (just build all walls around barracks 2-tile-wide), but I didn't know that beforehand. So if it is appropriate to suggest bugs to fixed before the next expansion, I would suggest this one. Also I would be interested in reading what bugs you found annoying.