It's been my experience that there are two "difficult periods" (read: fun) in the game: that first setup where you get everything running smoothly, and the second era of all sorts of crap going horribly, comically wrong.
The longer you play, the more wealth you'll accumulate, attracting all sorts of random and deadly things. ("special visitors" come from miles around to check out your =pig tail fiber sock= collection). You'll be attacked, and ambushed, and wild (and occasionally fantastical) creatures will wander in to terrorize your population. You can trade every year and start wars in that fashion if you're so inclined. There's quite a variety of industry in this game, and it takes a good while to get every possible one of them up and running, given map resource limits and such, but it could theoretically be done with any embark location.
Also, your population will grow (or shrink, if you're doing it
wrong right). It's not always easy to keep everyone happy/fed/clothed perpetually. There's the threat of moods over time, nobles and mandates. Since I haven't been into the mega-construction field yet, it's the random events that keep me playing long-term... along with the neat continuity of my dwarves having kids having kids having kids and so forth (I nickname my dwarves based on something they like, and then name+number their children after them - their father's name II if male, mother's name II if female, so it's fairly obvious in my forts).
Oh, and technically there's a third era as well, but that one is a secret made more fun by being unspoiled.