I voted story, but it's close between that and art. I like fortresses that are interesting - where things happen that I laugh at, or that make me kinda sad, stories that I tell my friends with when I mention I'm playing DF.
Usually I run somewhat peaceful forts, and the stories come from just things the dwarves do, like engravings of a dwarf being elected mayor... being placed in the former mayor's home, or a dwarf passing out on a cage trap and getting stuck inside for 3 months because the engineers won't prioritize setting up his release lever.
Art, too, though, because I like to make my fortress look nice. I smooth and engrave all of the walls and floors, place statues and caged animals all around, sometimes I pattern the digging so the room layout looks nice, I make walls out of metals and stones of interesting colours. Even in my current fort nourished cobalt, despite all the undead, I managed to make a rainbow wall at the entrance. I build rooms with windows with a view into the caverns or out over the land sometimes, etc.
I make happyness a goal too, though - happy dwarves tend to make the best stories, and if their needs are met than I can work on aesthetic projects. I think my dwarves are an extension of the fortress' beauty, as well, so keeping them clean and well clothed (or trying too) is important to me.