My first minor !!Fun!! was back in 40d.
Before I've set up proper underground stockpiles, a horde of rhesus macaques turn up. I draft my starting seven to fight them off, only for his throat ripped out by a macaque. (Did dwarves have throats in 40d? He got killed by a damn monkey at any rate).
My first major !!Fun!! was in a different fortress, also in 40d. I was trying - I think - to set up a waterfall inside my fortress, but accidently breached the brook that was feeding it. The fortress started to flood, but it was some time before I noticed, and when I did, I thought it was the waterfall that was causing it. So I shut off the waterfall, thinking that would be enough. The fortress continued to flood, but I assumed this was just the last of the water in the waterfall-cistern emptying. It wasn't until about half the lower levels were submerged that I realised it was the river that was the source, and there was no obvious way to stop it. (I tried damming the river upstream, which I ''think'' worked, but not before drowning several dwarves in the process). I think there may have been an aquifer involved as well.
This was also my first introduction to the vagaries of dwarven emotions (Urist McGrieving Mother is upset that her entire familly drowned in the flood, but on the other had, it was a really nice waterfall).
I eventually had to abandon that part of the fortress and start a new that would bypass the flooded levels and then join up with it. This also resulted in !!Fun!! when the gobbos arrived, and I forgot when I gave the "eveyone inside" order, all the dwarves in the "new" fortress decided to run out side and seek refuge in the "old" fortress.