I like evil embarks! I take a silver war hammer with me, and some copper armor. I don't waste points on a copper shield, though- a wooden one works just as well for blocking, and while it's not quite as good for bashing I don't think the difference is really worth it. The hammer is what's getting the work done anyhow. My armor priorities are Helmet->breastplate->other, but honestly if you're taking too many hits you're screwed anyhow. Pain is what usually kills my protectors: they get a few broken fingers and toes, and pretty soon they're passing out and the zombies are chewing on their heads.
Don't bother with axes- some limbs reanimate independently after being severed, so you'll quickly multiply the number of enemies you're facing. You just shouldn't try to take on thralls with the starting seven. You just shouldn't. If you're facing thralls that early, just dig a hole, hide in it, and hope for the best.
Protectors are only a short-term solution, and only good for deflecting attacks from the weaker undead: you need to build a barrier. A single soldier with partial equipment is no match of a herd of skeletal muskoxen.
The strength of any animated part is based on the strength of the base creature, so a clump of yak hair is more dangerous than a whole zombie cat.
Chitin cannot be processed (without modding) and it will reanimate, so giant insects and insect people can be a real nuisance, and should be pitted ASAP.
Don't forget a spinner: it's easy to forget the hair, and think that your butcher has taken care of the problem. But hair will reanimate, and is divisibile into multiple clumps of hair through combat, making it more dangerous than any reasonable being would expect. I once thought I would be clever and use a pit of hair as a kind of danger room, and the result was more !!fun!! than anticipated.
It's a good idea to mod your raws to allow you to butcher sentient beings. Otherwise you need to atom-smash or incinerate the corpses of sentient beings, or pit them indefinitely.
I think that creatures might stop decaying while they're undead- I killed a zombie goblin which had been trapped in a pit for a long time once, and got some tasty goblin meat for butchering it, when I would have expected for it to be rotten. I haven't extensively tested that, but if it's true it could be a fun and profitable alternative to refrigeration.
DO NOT invest in pets for defense, even (or especially) strong ones. They can kill some of the weaker undead, but they inevitably get killed and become part of the problem. That said, very weak pets can be good trap bait, and a number of weak undead pets (kittens, chickens, rabbits...) can be a good military training method that feels less exploity than a danger room (but also requires careful management and a disposal plan).
The undead will actively charge any living thing they see, which means you'll be attacked much sooner than you would be by normal wildlife, but which also means that undead are conspicuously easy to lure into traps.
If you catch all of a group of creatures in cage traps, or destroy them, more creatures will enter the map. But if you trap them in an inescapable pit without killing them, new creatures won't enter the map and the threat will be contained- so if you really want to control the undead population, a pit trap might be more effective than cage traps or violence.
This is on the wiki, but bears repeating: Lava will not kill undead.