My first fort went much the same way. Picking stuff for my embark, I was all, "What's with all this alcohol? Whatever, I don't need it, there's a stream on-site, and we can drink that." That worked, for a while, although I was puzzled why the empty barrels we'd left outside were not collecting rainwater. Then winter hit, the stream froze, and the dwarves started getting thirsty. I was saying, "Dudes, there's like a foot of snow on the ground RIGHT OUTSIDE, just melt that & drink it," at the computer screen. Didn't work so well.
Long story short, forget about water. It doesn't do what you think it does. You can't get it from rain, snow, or ice, but you don't need it at all to brew booze, so ironically you're far more likely to die of thirst on a glacier than in a desert.
On the plus side, that first fort of mine was what really sold me on Dwarf Fortress. Sure, my little guys started dying, but that was to be expected. It was the sudden realization that the game was actually tracking the cloud of stench from the rotting Clothier that really impressed me.
I haven't played in any very cold locations, but from what I've heard, cold itself is not a real danger. What you need to look out for, however, is temperatures near zero. Dwarves will happily walk across a frozen body of water without a second (or even first) thought, which is quite all right because it's perfectly safe . . . unless it thaws and your dwarf is suddenly drowning & being pulled toward the waterfall. The autumn can be even more lethal, because due to the mechanics of the game, when water freezes, even a single 1/7th puddle of water will instantly fill the entire tile with ice. I have literally had dwarves die instantly simply because they happened to be walking across wet ground when a cold front hit.