I used to have this problem, and actually stopped playing for a while because of how boring it got. I would spend FOREVER finding the perfect site, setting up my embark, and setting up my actual starting area by ramp-carving the cliff face flat. At first, from there, I would proceed to build a terribly unorganized fortress which led to such disarray it was unplayable. Them, I began building better and better forts until I had it down to an art. Tunnel down to the farm, food stockpile right by it, dining room on the other side, and houses expending southward from the westward tunnel making it adjacent to the dining room. Workshops and stockpiles up north. It was efficient, easy to build and designate, and boring.
The only solution I've found for this is to find interesting starting areas. The best ones are always mountainous. Varied terrain with intermingled stone and soil tiles help. A chasm and river, preferably close to each other, are a must. This keeps the game interesting at least during the design and build stage, as well as prolonging the build stage. For instance, try getting an aqueduct across a chasm and down a few z-levels to your farm while simultaneously channeling it to a moat and avoiding dangerous situations.
Once you're done with the interior design, there's normally not much to do except micromanage dorfs. That's where intricate defense setups and megaprojects come in. Try building a defense setup that doesn't rely on a standard or exploit-like method of killing. Long hallways of stonefall or cage traps, atom smashers, and your standard ballista-marksdorf hall are some examples. Try building a defense system that traps the enemy and floods them, then pumps the water back out. Or drops them down to a pit filled with fifty of your hammerdwarfs, wardogs, cats, nobles, fire imps, and booze. The possibilities are limitless.
Once you've done this a bit though, I would suggest either declaring war on the Elves or downloading Orc mod. The challenge presented by Goblins isn't great enough to make building these feel justified, as it normally isn't.
Basically, with a sandbox game, the goal isn't quite to make it easier on yourself, it's to make it harder.