I like to try to create adventurers with a sense of narrative behind them: forging alliances with certain civilizations, banding with other adventurers (generated by me or otherwise), taking on epic monsters.
I have plans to settle with one of my adventurers over a kobold cave (first dropping any of his/her useful equipment), then build a fortress there and adopt the adventurer I've settled there with Runesmith. I'd incorporate the adventurer's dropped loot into the fortress. I've actually done this once before, so it does work. The bronze collosi drop masterwork statues when they die, so if you kill one or two, you'll have some mighty fine treasure to decorate your adventurer's bedroom with. Heck, I even carried the remains of the NPC she'd travelled with to the location with the intention of giving him an honorable burial.
...but because I didn't have the display case mod installed at the time, I wasn't able to make good on this. It seems one can't bury non-dwarven corpses in coffins, so it was either leaving the corpse in its own room or putting it in a display case.
As as Deon said, "Play Now" characters can be a fun change of pace. For extra kicks, why not mod in goblins or kobolds as an adventurer? It'll be sure to give you an extra challenge. Alternatively, why not try mastering an exotic weapon, like a blowgun or a scourge?