Heat is certainly more entertaining. Protip: embark with a bit of ocean, lake or river on the map. If it doesn't instantly turn to steam, your biome is too tame.
Embarking in a deadly cold biome is possible, although if the mean time to freeze is less than a minute real time, you might not be able to get your dwarfs safely inside. You really have to dig down and order everybody inside. Underground tiles are much less deadly, although they can still be cold enough to cause cold damage to shoes and socks (and death by frostbite once the dwarf is barefoot). In a properly cold biome, there's no use in bringing _any_ organic-material goods on embark. All wood will freeze and shatter before you can move it. Food will be destroyed before anyone can consider hauling it. Alcohol will turn into unusable frozen globs.
You'll need to find the caverns and forage for food there. If your animals make it inside, you'll have a bit of food for the start, but after that, you'll need to bootstrap your agriculture from cavern herbalism. I got deadly cold but not absolute minimum embarks going two or three times.
In both very hot and very cold biomes, caravans tend to be less useful than normal - both heat and cold kill caged animals, heat also melts cheese but cold can of course destroy every organic material. Caravans aren't nearly as useful when all they bring is stone and a bit of metal. And while it's amusing to sell them old clothes which fall apart as soon as the caravan steps outside, it won't do your trade balance much good. I think you'll also only get the dwarven caravan, and no animals will spawn above ground. Goblins may still reach you, unless the temperatures are _really_ extreme.