Awesome thread! Any idiot can avoid many early pitfalls via a list like this--but I'm glad I hit the ground running without knowing anything about the game. It was a godly experience.
Some things I do:
Don't bring an anvil. It costs 1200 embark points, but it only costs ☼1000 from the dwarven caravan in your first autumn and you're significantly unlikely to (need to) be running a metal industry in your first year. Miners need to be legendary before it's efficient to let them dig ore and bringing ore at embark can be very expensive. Those 1200 embark points can be spent on goods that will last for years beyond embark, especially on harsh maps where wood and water are scarce--wouldn't you love to have 600 units of liquor, or 400 wood logs, instead of an anvil you won't be using for years?
Rock mugs sell for ☼30-60 apiece so you only need to process a few large rooms filled with stone to end up with enough ☼ to buy out the first caravan. I normally set a craftsdwarf to crank out mugs (or rock short swords, which are ☼150-300, if you have excess wood) for the entire first year. Make sure you have a few bins to stick them in or you'll smash your own dick with a hammer watching dwarves walk them to the depot one at a time. Note that each rock produces 3 mugs, every time, so that stone goes from ☼2 value to ☼90-180!
The first caravan always brings silk and plant cloth, wood, leather, food\bags, drink\barrels, pets\cages, ropes, and random useless crap. Nearly all the objects there mentioned serve an important purpose in new forts (be it appeasing year two strange mood dwarf, tying up dogs to watch for kobolds at the front door, storing liquor and seeds or sand for glass, making beds, etc).
It's worth doing what's necessary to trade successfully in your first year, because if you don't, you won't get human traders the following year. Humans bring lots of useless [Large] items, but once you meet with their diplomat you can foster incredibly lucrative trade. I've had them show up with 7 wagon loads of wood because I didn't ask for anything else. They also might have stone types that your map and home civilization lack, so definitely shop around. If you make generous gifts to the human civilization they may grow incredibly rich and send a merchant baron with 10 wagons and 8 mules loaded with goods. Which you can then dump magma on in your trade depot.
Obsidian goods are thrice as valuable as normal stone goods, so if you're on a map with obsidian layers, rejoice at triple the bang for your buck. Flux stone (dolomite, limestone, etc) is twice as valuable as normal stone, so don't balk at building your entire fortress from it if you have large productive layers of it. Especially early on, the extra fortress value makes for more interesting gameplay in your 2nd and 3rd year (you'll see what I mean when they arrive).
If you plan on starting your metal industry or glass industry early on, or in the first few years, really, bring bituminous coal with you. Each one of these can be burned alongside one wood to produce 3 bars of coke, a net gain of one fuel. Since coal and wood both cost 3 embark points, bringing equal quantities of these makes your money more valuable, lowering the price of fuel bars from 3 to 2 each. If you have trees on your map already, just load up on coal. Warning: if coal catches fire, you won't like it. Do not dump it in the magma or let fire imps shoot at it. if it doesn't explode it can burn for decades. google centralia, pennsylvania--this happens in DF.
While I suggested leaving the anvil off, if you plan to cut down a single tree in your first year then you must bring either a 300-point axe or a 1200-point anvil and materials to produce axes. If you go with the self-production strategy you get the advantage of early metal industry and you can then produce your own picks as well (saves you 10 embark points per pick, given that 1coal+1wood together lowers the price of fuel to 2 per, making each axe or pick cost only 10 embark points to produce--6 for the ore, 2 to smelt it, 2 to forge it) If you aren't comfortable not bringing an anvil, this is probably the best start to save you points by not bringing axes and picks. Note that you can also get a free axe by giving one of your starting dwarves points in Axedwarf, though I'm not sure what level of skill provides what type of axe.
Dogs and cats--matter of preference. I love having cats everywhere--that little 'c' has so much character as it smugly walks around the fort eating vermin. Dogs are indispensible, because when dwarves berserk, the dogs are on them like flies on shit. They never get adopted unless you let them, so you can check population anytime you want. Lock up female animals in cages at embark and any time they are born and you won't have pet problems. Animals in cages don't fuck, but if they fucked before getting caged they will squirt out one last litter before becoming celibate.
Scuttle the wagon and build a statue and place it indoors as a statue garden as soon as possible, or your dwarves will idle at the wagon. You want your dwarves and all their shit indoors as soon as possible, losing one of your starting dwarves in year one is probably the best reason to abandon. It's just shitty to have happen, because they are the founders that the entire society is predicated upon. Maps don't care about your dwarves--if there are skeletal beasts, giant eagles, carp, or worse, being outside is asking to die. Delve out secure lodgings, ere the XXXX get hungry. It's good advice.
Get sweet pods in the ground as soon as you can. If there is soil on the map near where you're settling, simply dig the ground 1 level below and you have a cavern ready for planting. Sweet pods can be brewed into rum and seeds or processed at the farmer's workshop into dwarven syrup, which it seems like every 2nd dwarf is in love with. Dwarven syrup also makes incredibly valuable roasts when cooked into lavish meals with other ingredients, and these can be sold for ☼20,000 or more, sometimes enough to buy the entire caravan's worth of useful goods.
Make sure your dwarves have safe access to fresh water inside the fortress. Embarking at locations without fresh water is STRONGLY ILL-ADVISED. If you do so, a stubbed toe will cause the dwarf to die of dehydration in bed, because dwarves ONLY use fresh water for health care. Trust me on this, it's really obnoxious and there isn't shit you can do about it as your dwarves wither in bed. Use the Zones menu to create a 1x1 pit\pond and channel the floor under it, then make a bucket. One of your dwarves will make a few trips to the nearest fresh water and fill the tile, making sure that if someone gets injured they won't die of thirst. Alternatively, figure out how the fuck wells work in DF3D and place one. Good luck.
I'd also heavily recommend sand on your embark regardless of what you're trying to accomplish. Glass can be used to make anything that can be made of wood or stone, it's reasonably valuable, clear, elegant, and one of the most notorious desires of fey mood dwarves. Keeping raw green glass around saves lives. It can also be used to train gemcutters to legendary, as a single 1x1 tile of sand produces infinite raw glass which can be cut like a gem. If you do not have sand at embark, you will NEVER have any glass on your map unless you find rock crystal, which occurs in clusters of 3-9 units and is very rare. It cannot be imported or produced by other means.
Miasma doesn't travel diagonally, so if you don't want to deal with the risk of outdoor refuse piles or of letting bones and shells rot outside, dig a room of diagonally-connected tiles in a grid and make it your refuse pile. It only uses 50% of the space but nobody will get their shit snatched off by a giant eagle\carp\whatever while going outside.
Cave adaptation isn't a big deal. Dwarves with low toughness will interrupt jobs because of it, but fuck them. if you truly care, make a statue garden on b1 of your fortress and channel the cielings out so it's filled with sunlight, and gover the channeled hole with a laaaaaaarge bridge. Bridges block collision of fluids and units and bolts but not sunlight, and this ensures your dwarves will get a regular dose of vitamin A every time they finish a job or come to a party. If you install such a room in a mature fortress where everyone is cave adapted, it will pretty much have a bright green floor for 2 seasons, but after that the sickness should be gone.
Two miners is the standard build, and I usually give them furnace operating as their second skill--seems to synergize well. They dig the ore, then smelt it. I have started bringing a third miner sometimes and this really helps if you plan to have a "large" fortress with 3-wide or 4-wide hallways and you want to start planning the massive rooms out in year one. Legendary miners are also great pinch defenders--they often kill creatures in unarmed combat (with their picks) without being activated, if they are grappled.
A mechanic is a must. Mechanisms, levers, floodgates, drawbridges, and cage traps open up so many fun gameplay options. Caged animals and goblins are excellent test subjects and having a raisable bridge blocking the front door to your fortress is a pretty stateful siege defense to give your army time to gear up and make their way to the front gates.
Instead of bringing dwarven wine and plump helmet spawn, bring a lot of plump helmets. Each one brews almost instantly (with a barrel!) at the still into 5 wine and 1 seed, a value of 11, for 7 points, and good experience for the brewer.
Bring one of each 2-point meat at start instead of bringing 15-20 of one type. You get a barrel for each type you bring, which is very worthwhile early on. The same is true of liquor and seeds--bring at least one of each type to get a free bag\barrel.
Turtles generate bones and shells when eaten--valuable in year 2 if you get a few mood that wants them.
Get beds built and set up asap, so your dwarves don't sleep on the ground the first time they get tired. Even sticking the beds in a corner is better than letting them take to the floor. Dwarves get an unhappy thought each from sleeping on the floor, sleeping in an improper room, and being wakened by noise.
Like beds, dwarves really want tables and chairs. Built 2-4 of each wherever you want in the fortress within the first month if you can, as dwarves get an unhappy thought from standing up to eat.
Actual bedrooms should not be adjecent to workshops on the x, y, or z level. A workshop above your dwarf's bedroom will wake him up every time he sleeps it seems like.