... Or should I just create a world and go for it wherever I feel I'd have fun?
That's what I do now. Typically, there's no need to pierce the aquifer, if you embark somewhere that has no aquifer on half of your embark, and aquifer on the other half. You just dig around it, and use it as a water source. That covers that part.
It's possible to get to magma within 12-20 Z levels. When you consider it vertically, even 20 steps for a dwarf really isn't that far on an efficient layout. It's also possible to go from embark to magma without breaching the caverns, if you're careful.
Personally, I decide on my goals, first, then design the world and embark to fit those goals. Do I want to fight Titans, MB, SMB, Clowns, FB's, Goblins, random savage wildlife, undead? Just one of those enemy types, in fortress mode, can be quite fun. I mean, if you adjust progress triggers for population (post embark) to 1 from 3, you can get sieges of 90+ goblins mixed with trolls. It's just wave after wave of traps/automation/military slaughter.
On the other hand, you can make a world devoid of humanoids and stick to breaching the HFS. That takes some real forethought, but in all cases, you only need two things for a fort to be long term.. A completely secure water supply and then as a result, some place to farm underground. Once you have the water, you can make mud anywhere and farm mud on rock right next to your magma forges, if you want. And all of that is withOUT dfhack. If you're willing to take that step, well, you can embark anywhere and two commands later, your water source and magma forges are done, and you can focus on whatever megaproject strikes your imagination.
Ice castle! Hunters only! Obsidian farm! Masterwork for everyone! Pressure plate maze of floor spikes!
I don't want to seem like I don't enjoy providing these embarks. I do. I wouldn't do it if I didn't like it, I was just pointing out that DF can be a MORE fun game by customizing/tailoring the world and embark to your current gameplay goals.