I've played quite a few fortresses where there simply aren't any megabeasts. Since 3 champion wrestlers can absolutely murder a 70+ goblin siege, advanced-age fortresses are boring. Orc mod, blah blah blah, but it doesn't cover the fact that after a while, your fort becomes practically impenetrable. Even in the new version, with endless sieges from below ground and forgotten beasts, eventually you run out of interesting stuff to shoot, maim and stab. Thus, challenging the gods.
The basic idea would probably be better implemented when the religion arc or magic arc comes around, but it's a fairly limited idea that could be implemented before these I think. Basically, some way or another, you contact Armok and insult his mother power. He gets pissed off, and sends in a monster. Ideally that monster would be generated like forgotten beasts will be, i.e. randomly, but with a new twist- it could come from anywhere. The first time, it could fall from the sky, next, from your catacombs, then the next could maybe transform one of your dwarves into a boiling sphere of blood-thirsty vomit. This monster would be random in almost every way, some would be [trAPIMMUNE], some not, some [FLIER], some [FIREIMMUNE], etc. So one trap or drowning chamber couldn't hold them all. Basically, a challenge that would get progressively harder each time and could be hard enough to doom even the most prepared fortress. And unlike a few other difficulty suggestions, it wouldnt mess with megaprojects or story forts or stuff like that, as the player can simply ignore it if it doesn't fit their fort or would mess up what they are trying to do.