My early forts have a bit of a different experience than the others above, but that may have more to do with my construction style. I don't typically do exploratory digs early, limiting my digs to exactly what I need. Even with a pair of level 10 miners they're usually still digging out living spaces and the like when the first caravan arrives, so I have some different approaches... mostly because that stone is usually converting to blocks for the walls.
I almost always embark with a hunter and cats. These two items tend to bring in a LOT of bone/skulls. My usual primary early trading goods are bonecrafts. Depending on the terrain, either my woodcutter is bored (not enough trees) and is fishing, my farmer is bored due to lack of dirt, or my mason is bored while I try to drill into an aquifer. Whoever is bored becomes my bonecarver, and he gets to work with a vengeance.
The only time that really didn't work was when I forgot to bring some cats.
As to what I get, it varies. I'll almost always buy out whatever animals the caravan brings, and usually butcher anything that requires grazing. I'll buy out almost all their leather/cloth, just to make bags and replacement clothing from until I get some migrants to convert into weavers/clothmakers/leathersmiths. Also quivers/backpacks/waterflasks for the early marksdwarf squad I try to create.
I constantly buy out all seeds from the caravans as well. It saves me from trouble later. I usually embark with splints/crutches, but a few extra never hurt. Thread too. Then I start digging into what I need. I rarely get to find coal, so I usually order bituminous coal and lignite from the caravans. Cloth too, until I've got a serious farming industry going. I'll buy up some early and cheap metal bars and glass blocks to handle moods before I've got those industries going. Spare picks and another anvil just in case, too. After that, it depends on what I need.
Unlike some others, I concentrate on turtling first, then getting my military up, so I don't usually buy armors. The caravan is more of a dump for me, using them as a seasonal chance to clean out the trash. Overstocked prepared foods, worn clothing, craft goods, whatever. All of it goes. The more profit the trader makes, the bigger the caravan can get and the more chances for stuff you get when they come back.