Usually I take a bit of iron ore, flux and wood with me, embark in fairly mountainous regions and being making 2-3 steel picks and 2-3 steel axes (EVERYTHING has to be made of steel!!!)
While this is going on I scout out an entrance and get my miners to start fishing for a nice early food boost. As soon as the picks and axes are done, I mine out some more ores and flux to make 3-4 sets of steel armour so I can get the first migrant wave training for the military. After this, I make a temp-fort and wall myself in, usually just letting migrants in and and begin carving out a huge fort complete with 10-Z-high fully smoothed dining room and individual workshops and bedrooms for each Dwarf, with farming taking place in the caverns.
This is my usual approach but I've been far too slow at getting a decently equipped military up & running so usually I end up staying walled off, get bored or make a mistake with the fort design and start again.
Plan for next time: Embark with 3 copper picks, mine out coal, iron ore and flux, get 10 sets of steel armour and weapons made and 10 Dwarves training by the end of the first year. Hopefully by the end of the second year I'll have 20-30 steel-clad Dwarves ready to defend my entrance in shifts so that I can focus on my grand main fort without getting bored of being inaccessible to invaders. I'll probably wall of a section of the caverns for farming and water then focus on my entrance, typically a huge spherical cavern inside a mountain. I try and fill the bottom half with magma and have a huge winding glass staircase down to the main fort but usually get bored before then. Only just now thought of channeling the outside of the sphere, building a support then collapsing the whole lot to speed this up a bit, totally need to try that! After that I'll move to the 10-Z smoothed dining room, themed workshop areas with individual bedrooms and workshops for each Dwarf. I might even try a glass labyrinth hanging from the dining room ceiling that I can throw goblins in to and a few magma waterfalls.
Yes, half my Dwarves are usually miners and engraves, hence my failtastic military!