Vanilla DF is far, far too easy; once you're beyond the point where you realistically can expect to make unrecoverable mistakes, you'll essentially never lose except to HFS. Modding, thus, is essential to make the game challenging.
Myself, I play CatSplosion, which makes the playable race sapient cats instead of dwarves. These size 3 carnivores have some of the things that make dwarves so easy removed, such as farming for food and reasonably-easily-available steel equipment, and have significantly weaker weapons and armor compared to standard. Even multi-legendary champion cat soldiers are threatened by goblins that outnumber them 10:1, unlike dwarves, who can often easily take down 20 or 30:1 odds if well-equipped.
I also like some mods that add functionality to the game. Some that I've become inordinately fond of are mods of my own devising that allow the creation of beds and ropes from many animal hides. These are, in my mind, things that should be in vanilla; their absence is just an oversight, so adding them is just nice (especially since in most cases using them is actually a fairly bad idea compared to the preexisting options).
At the current moment, I'm considering trying Relentless Assault... With cats. Just for more challenge. I expect it to be a bit tricky to deal with.