Don't skimp on the helmets, if nothing else, make these out of the best material you can and aim for high quality. When your dwarfs get knocked out and are on the ground, enemies will generally try to strike at their heads. A good helmet can save lives, or at least buy some time for plan B.
Instead of assigning war animals to your dwarves, put them in a large pasture just inside your entrance. Assigned animals count as pets, and losing that beloved war dog can send your military tantruming, which you really do not want. In a pasture, they have more mobility and greater range of effectiveness than being chained (plus you don't need to make chains/ropes), and will auto-detect thieves and invaders.
Crossbow bolts can be effective against higher grade armor. Copper bolts can sometimes punch through iron armor. More often, your marksdwarves will just shoot at the unarmored bits on enemies. Bone bolts are a good economical alternative if you are really lacking metals.
Don't put your fortifications where enemies can stand right next to them. Put them on walls or behind pits/moats. Enemies can shoot through fortifications unhindered if they are right next to them. They can still shoot through them at a distance if their skill is high enough.
Some building destroyers will path to destroy something regardless of where it is. Build hatches or statues out in front of your fortifications for easy shooting. Also, higher quality buildings take longer to destroy, artifacts will never be destroyed (though they can be deconstructed; i.e. door ripped off its hinges).
Redundant defense walls are good. If the enemy gets past the first wall, hopefully it won't get past the second wall.
Dwarves with "Ambusher" as their highest non-combat, non-social skill will be given a free crossbow (of random material), a quiver, some bolts, and some basic armor upon embarking. Just be sure to turn off their hunting labor when you arrive if you don't actually want them running about by themselves. Good if you need to defend yourself from wild animals and zombies right away.
You cannot build walls next to the edge of the map, but you can build drawbridges and raise them to block off the outside. Or better yet, channel a moat all the way around the map, one tile from the edge and remove all the ramps. Invaders that spawn on the map will have no where to go if they can't fly, making them easy targets for your marksdwarves. (Admittedly, this is really cheap, and not much fun)
Picks can be assigned as weapons (military > equipment > Weapon > specific weapon), and they are pretty decent too. Note that a pick assigned as a weapon cannot be used for mining, and vice-versa. (Same goes for axes and woodcutting)
Don't schedule an entire squad for an order (i.e, if the squad has 7 members, only assign 4 or 5 to do something at a time).
If your squad is off-duty and you need to send them into battle, station them around the armor and weapon stockpiles before you send any other orders. If they needed to pick up equipment first, they will do so then. This may save you from dwarves running into battle unarmed.