I wonder if I should start learning how to mod the game. The evil areas aren't particularly a challenge either unless you do something A grade stupid to make it more difficult like leave the main gate open, have no traps. The challenges sorta fall under this for me, like no picks, no supplies, no skills. While I am sure I could probably survive a terrifying evil area build provided that I have ground water and regular plants to hold out until the first caravan, I'd probably do just fine. But trying to make things impossible isn't my kind of fun, a challenge is a challenge, but how many of us want to go through our day hopping around on one knee and with one arm strapped to your back just to say ' I did it?' It comes across as the definition of stupid to me, but whatever.
While that's a fair viewpoint which I can respect, allow me to offer an opposing one: I consider closed drawbridges during attacks and/or trap-filled corridors to be taking advantage of flaws in the AI and game mechanics (not a judgment of other players, just a personal standard). Always having an open path to the outside with no traps puts yourself on the same level as the goblins/zombies/whatever, it forces you to fight them on even terms (since, for now at least, they simply can't deal with a closed off fortress or a bunch of traps). It's quite fun if you want a challenge. By the same logic I never touch adamantine; it's just too good compared to anything the AI can bring against you. Steel already gives you an edge over iron-wielding goblins, adamantine is just cheating. And no danger rooms, of course, how often do you see legendary goblins - again it just puts you on a level the AI isn't designed to compete with.
Also I think you underestimate evil embarks; sure you can wall off immediately, but what then? Unless you plan to run a self sufficient 7-dwarf fort (possible but boring), you need to get caravans and migrants inside alive at some point, which is a nontrivial challenge. It's not so bad at first, but every dwarf you fail to save adds to the local undead population and makes it harder for the next migrant wave to get to you alive. So the stakes are high: losing a full wave to bad luck/timing can make it nearly impossible for the next wave to get to you alive, and it spirals out of control. Just wait until the goblins show up and start fighting/joining the undead..
Do note that evil areas vary greatly in their challenge, however, some just aren't very evil. You want an area with, at a minimum, either husk-creating clouds or corpses that spontaneously rise as undead, preferably both if you can find it.
Also when dwarves get injured in combat in an evil biome (you're not relying on boring defenses like a corridor full of traps, are you?) you get scenes straight out of a horror movie - I remember when my militia commander was moderately wounded by goblins. As my best military dwarf I didn't want to just write him off, and it was the kind of injury dwarves usually recover from, so I tried to treat him; months later when he succumbed to infection, he instantly rose and killed the doctor. I (thought I was) prepared for this, however, and had him isolated in his own room with another military dwarf on guard duty. Things got hectic at that point, I believe the guard killed both zombies at least once, but he got injured in the process, and they kept rising again. To prevent things spiraling even further out of control, I walled off the room's only entrance - the guard sacrificed himself, struggling to keep the zombies dead long enough for construction to complete. Naturally, the mason walled himself in with them; one injured dwarf lead to four zombies in moments. Corpses that rise are a surprisingly subversive challenge, events inside the safety of your fort that would be routine elsewhere suddenly become dangerous.
I'm not as much a fan of the no item embarks, for me that just delays my fortress development, it's a way to give yourself a difficult first year but once you get past that it's just a normal fortress. I prefer lasting challenges, the no drawbridge/traps restriction and/or a sufficiently deadly evil biome only get harder as stronger sieges and megabeasts start showing up. They're not just handicaps that makes it harder to play the same way you would otherwise, they force you to play very differently, with (imo) a great deal more excitement and Fun.
As a last word, try mods to make things more interesting, the above challenges only get better when you have a different race of invaders showing up every season. There are also mods that add some very interesting non-invader threats, I hear Masterwork has secret dwarf cultists subverting your fortress from within, things like that. In fact a mod on its own might be enough to give you the challenge you're looking for, without any self-imposed restrictions.