how about a compromise. Your first game will be A, when it fails (not if, when), switch to the other mode etc etc. Keep it in one world and you'll actually get people talking about old forts/adventurers, statues showing your epic axedwarf adventurer taking out a minotaur in your fort etc.
Most scary bit is the interface, don't worry, you'll get used to it.
Lastly, the wiki is your friend, you need the wiki, read the wiki, feel the wiki, obey the wiki, worship the wiki
If you don't understand the wiki or it isn't working or what you need simply isn't there, feel free to ask here. For small questions, please use the "DF2012 0.34 questions and answers thread" thread. If you have a lot of questions or it's more complicated, new threads are better
Now have fun and remember, losing IS fun. If you start 4 forts only to fail for a different reason every time, you're doing fine, it's called learning curve. If 5 adventurers die within minutes, it's normal.
One small hint for adventure mode: practice up a bit on small animals first, but avoid "stray" animals. They belong to a village and they'll all become hostile if you attack them. And with all I mean all the villages, towns, castles and cities.
When choosing an animal to attack consider several things: how big is it? A dwarf is half the size of a human, human size, well, you probably know. If the animal is a lot bigger, you might get knocked down a lot. Could be a problem if you get knocked off a cliff or in a river. Next, Horns and hooves? They can be deadly. Yaks are some of the deadliest 'normal' animals you'll see being big (well, bigger than the adventurer), having horns and having hooves. I've lost more than one master axe fighter to them.