Dwarf Fortress has some interesting challenges featured in this forum, such as surviving on plant gathering alone, or surviving on the surface. While the game allows for many styles of play, I believe the start-up embark options could be more flexible. Some features that could be added.
Having more or less dwarves at the start of the game. The starting seven are really overworked at the beginning of the game and sometimes it would be nice to have that one extra guy for guard duty. The dwarves should be customizable as well, allowing players to determine the sex, age and skill of a dwarf before the game starts would allow for more control. The age of the character could determine how good the stats of the character will be, how long that character will be available for you and perhaps even add in a few 'free' levels in a skill, perhaps raising the limit on how many points you can spend on skills. Children could be the cheap version of a dwarf, allowing you to have a rather large (if rather useless) population at the start of the game.
Have the choice of civilization determine how many points you have available and what sort of items are permitted on your voyage. A very large civilization at it's peak would allow for large amounts of resources to be sent on a single expedition, thus allowing a large amount of points to spend on large amounts of alcohol and skilled workers. A weak civilization at the brink of collapse (or already collapsed, think refugees) would have a limited choice available when it comes to items and labour. You could end up with 30 dwarves and no food, or lots of weapons but no alcohol.
Make items have an availability and supply-demand style cost. By making the amount of goods, dwarves and animals limited based on the civilization, the player would not be able to pick out the most ideal starting template that they would want, but it would still allow some flexibility. For instance, there may be a limit of seven dwarves available for the journey, requiring the player to make do and adapt their equipment choice for a starting settlement of only seven dwarves.
Have equipment cost be based on supply and demand would increase the point cost of an item based on the number you gather for the journey. A barrel of beer would be plentiful in the civilization and so would be cheap no matter how much you buy. War Animals may be rare because of the limited amount of animal training happening, so therefor the cost of each war animal would go up as you collect them.
Have incidents that happen while the dwarves are travelling to the embark site. Perhaps a dwarf will get sick and use up some bandages or soap. Perhaps the dwarfs got stuck in a storm and had to wait it out, causing a delay and reducing the food stocks. Maybe a dwarf died. Maybe some rats ate the food, etc, etc.
Have a limited weight that can be moved on a waggon, and therefor have the ability to have more waggons. The more waggons you have, the more gear you can carry and the more dwarves that can reach the site without incident.
Have the embark options affect the civilization funding the expedition. Perhaps the player embark will cause a war with a civilization that they embarked close to. Perhaps the civilization is now bankrupt from the venture.
Have a new type of purchase, prayer. Be able to spend points for miracles, such as arriving without incident, having one month of clear/warm weather, arrive when all the enemies just so happen to be taking a convenient break, and looking in the opposite direction...