I find that extreme heat has a bit more of a straight cutoff function - if it's not too deadly, then you can simply dig down and stay underground, and it doesn't play much differently from a normal surface-ignoring embark; your food and drink will usually survive. If it's hot enough to destroy your food, your dwarfs melt pretty much at the start and you can't really do anything (because "melting" of fat tissue causes bleeding out at a temperature ~100°C below the heat damage point of organic materials). Cold is quite threatening, but even the most murderous extremes can be survived for the day or two it takes to build your shelter. The challenge of low or no imports and eroding footwear will remain and be compounded by the need to find the caverns quick to get food and drink. For a vanilla-based challenge (i.e. not using temperature-immune modded creatures), cold is the better fit.
I just gave it another whirl and of course my beards decided to park their wagon on a mountaintop. As expected, the first problem was getting everyone inside (with one dabbling and one adequate miner to carve a room into solid rock; of _course_ i use Play Now! for these games); it's rather annoying when they keep stepping outside, where their shoes, socks and eventually lives are in acute danger. Second problem, also as expected, was getting to water. I cheated by using one of the dwarf radar tricks (d-z i.e. remove ramps, designates _all_ ramps in the square and shows the designation. This way, you can detect unseen ramps inside caverns) and broke through just before my dwarfs started dehydrating. Unfortunately, there was a giant olm hanging around who decided it needed to join the party in the common dining room and i obviously had no combat-capable dwarfs. So i slew the beast with the power of hacking (replace [AMPHIBIAN] with [AQUATIC]; take that, gill-bearing monstrosity!).
BTW, adventurer mode in ultra-cold biomes is not very feasible: weather reads as "it is deathly cold", you cannot eat food - "the badger lung is too cold" and you have to surround yourself with campfires all the time just to avoid freezing to death. Oh, and there are no settlements you could visit.