I never intentionally murder caravans in order to steal their stuff (I only murder them for additional fun and usually atom-smash their stuff)
I attempt to preserve my surroundings as much as possible and try not to do too much terraforming, even on an exterior fort.
I keep a minimal military and make minimal usage of traps in order to make ambushes and sieges much more interesting. Also, I don't use steel for armor and weapons since it makes most goblin weapons utterly useless. Also, I have never outfitted any military dorf with candy and usually use it to make statues for my dining hall instead - if I use it at all -.
I love gems. I mine/buy them, cut them, then lock them in a "treasure room" with other expensive stuff and hoard them for eternity. I sell rock crafts to caravans to make dorfs earn their living instead of buying a whole caravan with 4 gold crafts with many different gems pasted onto them.
I wish goblins were building destroyer 2's while armed and weren't so easy to kill. I also wish they could dig while sneaking and sieging as well as knock down walls but only during a siege. It certainly would be a !!FUN!! surprise when the gobbos happen upon your dining area. NOWHERE IS SAFE.
I force dorfs to live in community hovels in close quarters so everyone gets married and isn't too happy to start with. I like tantrum spirals.
I dislike magma and find that it's only really practical use is for smelting, which is too easy so I don't smelt with magma either.
I love making above-ground forts. Especially in terrifying biomes
. It feels more like a fortress and makes you think more about logistics of building things and protecting your builders instead of simply hollowing out part of a mountain and squatting inside of it.
I love the vanilla game and stay away from mods. I think mods remove some of a player's ability to be creative with their own challenges and can reduce the amount of !!FUN!! to be had.
I don't want a magic system. When there is one, I'll make minimal use of it if it doesn't add any significant challenges like accidental explosions or sudden unsupported constructed floors appearing in the dining room which immediately squash all dorfs due to having only dabbling mages who like to do crazy experiments.