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[Sinned]

Most often... (as the OP pointed out, it depends kinda on the starting pos.)

1. Farming

Although at times it feels dirty cheap, I couldn't imagine a civ anywhere not looking how to grow a safe amount of food/crops. I don't do anything nutty though, just a thing to make sure the starting dwarfs don't actually starve. Just some basics though, nothing fancy. ""Hungry?? ... Here just chew on this leaf/mushroom kina thing...

2. Rock Crafts

I want this, I want that.. and seeing how I always try to bring along a decent rock/bone crafter .. he gets put to work asap. Can't have the caravan showing up without any goodies to trade with.

3. Booze & Prepared Food

By now a well/cistern will be dig to give dwarves safe access to water .. but we need booze also. So thats the next thing. Can't enjoy a decent beer without a steak! So steak is on the menu also. Mostly hunting at the start (if its not suicidal)... Cat & Dog are on the menu a lot later on.

After that its trying to shape things up with smelting/smithing stuff... which all depend on how well the above goes and the location again... Location, location, location! Of course this, having less can be fun and thus more challenging (and thus more fun!) at times.

[Dorten]

1. Food and boose of course

2. Animals. I like managing my cow herds.

Everything else ids optional for me since Catbane...

[Greiger]

My groups may be a bit skewy compared to everyone else, as I tend to use my own modded race rather than dwarves, (they still receive my utmost respect) but here goes.

Always:
1> Fishing.  The easiest way to get meat in my opinion, it can be dangerous.  But crossbow users stationed near the fishing zone tends to keep the dangerous fishies away.

2> Crafts.  Stonecrafts near the beginning, but later it usually turns into processing trader cloth into whatever cloth stuff the traders want that year. With some totems from the hunting industry mixed in.  It appears to be possible to hunt all animals and fish on a map to extinction, so food importing becomes important to me later.

3> Hunting.  Not so much early game, but usually once I get a military together a few high skill marksmen get relived from duty and given hunting labor.  During invasions they are put back on military duty if they can make it back.

4> Metal.  Although I mentioned marksmen I prefer the majority of my military to be made up of melee units.  Those need the best equipment I can give them.  Usually two handed swords and full platemail.  That requires an active metal industry.

5> Construction. I'm not so big into megaconstructions like some folks.  But I always like to have a castle over the fortress entrance that actually looks like a castle.  That requires alot of blocks.

Sometimes:
1> Farming. My race has the [CARNIVORE] tag which makes farming for food an exercise in futility.  Still need booze and cloth but that is usually imported.  I sometimes do farming if I feel I'm about to run out of one or the other, or if I'm planning on doing more than usual with cloth.

2> Glass industry. If I have magma and sand available I'll start up a glass industry and add green glass goblets to my exports.  If I somehow end up with a really good glassmaker I'll make cabinets and such out of clear glass, but the glass industry is usually an afterthought.

3> Animal Caretaking. Currently looking more into it now that I have a computer that can handle all the pathfinding.  Could potentially fix my late game "everything is extinct" problems, but last time I seriously had this industry you couldn't build outdoors, so I'm in the process of relearning it all.

Never
1> Cheese, milking and cooking: Carnivores can't eat cheese or drink milk.  And I find it too much of a micromanagement issue to not cook booze.(or preventing the cook from mixing plants into the meals which makes them inedible.)  So while I usually build a kitchen it just gathers cobwebs.

2>Gems: I cut a couple gems to satisfy moods, then never touch the jewelry work shop again.  Only thing I can think of that they would be good for is decorating furniture in noble rooms.  However a single statue made of some precious metal does a better job with less hassle in my opinion.

[Kel the Oblivious]

For my fortress, they go like this

Farming: Because it's an easy way to get food, booze, and cloth

Fishing: I only settle in places with streams, so I do not need to worry about the dreaded carp. Food and bones for my crossbow dwarfs

Stone: Gives me something to do with all my useless peasants, and is my primary source of trade goods.

Metal: Cause I need armor and weapons, and I use the useless metals to decorate

Wood: More bolts, beds, barrels and bins

Glass making: More decoration, and I do so love having towers of glass for my above ground fortress

[Sutremaine]

If you don't have any silk, then you can use plant fiber, but this is less valuable and takes more labor, so thats more of a stopgap than a primary industry.

Cave spider silk and plant cloth have exactly the same value, and webs can be gathered from only one area of the map. If you want to separate your skilled weavers and your web-collecting lackeys, you've got to play around with workshop permissions as well. Unless you're not growing any crops at all, you'll already have the infrastructure required to deal with cloth production.

I like the textile and glass industries, even though I never bother even setting up the second until I have ~20 dwarves and some idlers. There's too much to do before that, and since mining levels up so quickly I have the glassmaker and warsmith do that until I have enough dwarfpower. (This also protects your source of quality weapons and armour from sudden death in surprise melee.)

Some kind of stoneworking is also a must. Earlier on I leave that to my mason and mechanic to get them trained, and switch to the lighter stone crafts as the fortress progresses. Same for bone carving, although that's actually useful as a source of bolts and crossbows.

[Overdose]

fishing, then construction (housing, walls, traps, etc.), then booze (usually by this time i start running low, low being below "dwarves*10+50=actual booze in stock"

after that, silk gathering, hunting, anything dangerous.

Real dwarves find that the more dangerous a task (or the stronger the booze you consume), the more hair it puts on your beard, and as we all know, a dwarf is measured entirely by their beard in dwarf society.

[Leafsnail]

The mug making industry *cough*.

Recently I've also been gemsetting, but if I'm honest I usually just make my meals out of wine and ale.  My clothes industry is a bit of a disgrace, and only really makes sacks and ropes (there's loads of clothes lying around in the barracks if anyone wants them).

My armouring "industry" is fairly small, although at least I've found a seemingly endless seam of Hematite.  That means I'm still focus on fully kitting out my military in armour (however, this is hampered by the fact that 4 of my soldiers are currently bedridden).

My "traps" industry is pretty big.  Well, it's not really an industry, but my mechanic works overtime down in his lair, and I need to think of things to do with all the mechanisms.  I've made a moat around my stair entrance (there's also a door entrance inside) out of traps, filled my hallway with traps, filled any open spaces in my fortress with traps, and used gear assemblies as quirky room decoration.  If I'm going to hell, I'm taking a lot of gobbos with me...

[Albedo]

Which ones do you always run?  Which ones do you sometimes run?  Are there any that you never run?

A LOT depends on the embark site, the stone layers, and the wildlife.  Also, there are support industries, that are critical to the existence of the fortress, and (let's call them) "cash" industries, that are used to improve the value, and/or allow for mega projects (which in turn increase the value, longer route to same general end.)

Every fortress needs to eat and drink.  Booze goes without saying, so I won't. 

I never hunt early on, never fish, except defensively.  Too random, that dwarf has better things to do, and I can do better with controlled animal husbandry.  Even if one tried to hunt exclusively, there are only so many animals that enter the map - so I think it can be agreed that Farming is a dealbreaker for any fortress.  Whether that's expanded into meals worth a king's ransom that are sold or not is personal taste - I've not found milkable creatures (moghoppers, maggots) to go that route yet.  But both UG and (walled in) AG plots, for everything I can lay my hands on.

Steel armor is fairly expensive, so covers both ends, but you only need so much.  And while chain mail and plate mail are both high-value, caps and helms, boots, gauntlets and leggings/greaves, and weapons, are all fairly low return for the steel - so while that's a great early move (for defense and to impress that first caravan for more migrants), as a long-term play it doesn't work as well as others.  And at some point (unless you find multiple magnetite pods) the iron stops flowing, even if only temporarily (ie, until the next goblin siege.)

Stonecrafting (and masonry/mechanics) makes good trade early on - but that has limited appeal (to me) vs other, more challenging routes.  I do it early to get the fortress jumpstarted, then see what speaks to me.  Things like Masonry and Mechanisms are part of a fortress, and if I can sell the rejects, great - not that I do it on purpose just to trade, altho' that could certainly work with higher-value stone.

Glass or obsidian farming is a natural for those sites that allow it.  Fabricating raw material of value 2, 3 or 5 speaks for itself.

Clothes are armour, so "some" are needed.  Spider silk?... Meh, if I can get it great, but I'm not rejecting any maps if there are no spiders.