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[Kogan Nine-Lashes]

I'm a rather new dorf fort player but recently I've gotten a desire to attempt a mega-project. I'm thinking of building a castle and a "trade highway" down in the caverns. The afore mentioned highway would thus be patrolled by squads of dwarfs.

Considering the above goal, I humbly request advice, and additional ideas from you, far greater kings and queens of the mountains.

[rothen]

I'm not entirely convinced that an underground road is possible. Certainly, your visitors and caravans shouldn't spawn in the caverns without modding. They may be willing to depart through the caverns if given no other path to the edge of the map, but I somehow suspect that they might then be stuck down there with no way to return home. I'm honestly not very clear on how travel works for entities off-map; perhaps someone else can elucidate things.

[Kogan Nine-Lashes]

I don't think they can either. I was going to just build wagon paths in various spots on the edge of the map so the wagons and sieges can go down unhindered and then across to the fortress

[Bearskie]

They can leave through the caverns, no ill effects.

[Insert_Gnome_Here]

Caverns can be quite fun living spaces. 
I'd recommend trying to make as much use of the existing rock as possible, building up into stalacmites, aerial walkways etc.

[vvAve]

What Gnome said. Wall off a nice segment of a cave and then build around existing structures. Fairly challenging, but also rewarding and result will look very natural.

[Immortal-D]

Oh man, Cavern Fort is without a doubt my favorite challenge.  I have a couple of tips for you.

1. Don't expand too quickly.  This is especially true if you encounter a large open-air cavern, your first instinct is to claim the whole thing.  Wall off a small section and dig into the cliffs within the cavern.  You can wall off larger and larger sections as your Fortress grows.
2. Grazing animals are happy to nom on cave moss and other fungus.  If you bring a few goats or sheep for clothing (shearing), they will do just fine in a pasture underground.

[Findulidas]

Many of the thougher cave creatures are building destroyers so you can put chairs at strategic points and have cage traps around them to lure and catch them. If you manage to tame them some of them are just better then above ground animals. Like the jabberers. Adult at year one, massive returns when butchered and massively increased value as well.

[FakerFangirl]

I was going to just build wagon paths in various spots on the edge of the map so the wagons and sieges can go down unhindered and then across to the fortress

That works.

[Fearless Son]

Train marksdwarfs.  The caverns can have some of the nastier flying beasties, and you it is harder in the caverns to force them through a narrow chokepoint that makes them fly at ground-level underground than it is digging into the surface.  Helps if you can shoot them down. 

To add to your original concepts, dwarfen civilizations actually construct underground roads between mountain fortresses.  If you can, try to embark over one of those.  I am not sure how to guarantee that your zone includes one of these tunnels since they do not appear on the overworld map, but most logically they should be between mountain biomes inhabited by dwarfs.  You could build your fortress as a kind of waystation for travelers and cargo, a fortified trading post along the road. 

[Insert_Gnome_Here]

On the markdwarf side of things, I once created an inverted archer's tower, built down from the ceiling. Though it had a blind spot under it.

[NESgamer190]

If there's one tip I can give for cavern embarkment, there are two woods to keep in mind:  Nether Cap, and Blood thorn.  The former's magma safe (though don't think you can use cart of this stuff to haul lava, unfortunately), while the latter is the heaviest wood if you plan on using ballista siege equipment (Compared to a stone, they're about half as heavy generally, I think).  The rest of the tree-like plants sadly only really differ in color.

[Maul_Junior]

Except Willow is the lightest "natural" wood, while Featherwood (Good biomes only) are THE lightest wood in the game.

Bins, etc that need to be moved all over the place should be built of Willow (or Featherwood, if available) if at ALL possible. My willow wood is considered a limited, strategic resource on my maps. Even if I have 3-400 logs sitting on the ground.

>.>

[CaptainArchmage]

I'm a rather new dorf fort player but recently I've gotten a desire to attempt a mega-project. I'm thinking of building a castle and a "trade highway" down in the caverns. The afore mentioned highway would thus be patrolled by squads of dwarfs.

Considering the above goal, I humbly request advice, and additional ideas from you, far greater kings and queens of the mountains.

I don't think the game has progressed to the point where roads or tunnels, aboveground or underground, can be manually designated outside of the fortress area. For a long time though, the cavern has been an exit point and some mods got, without DFHack I believe, sieges to come from the caverns.

You can, however, designate roads to the map edge if it is a valid map edge underground. Roads and tunnels DO get built underground and aboveground, but it doesn't guarantee a proper connection to your fort. Yet.

[Fleeting Frames]

You do see the underground roads if you set them to be shown in advanced worldgen, not that it is useful.

@Maul_Junior: Candlenut and Kapok are both lighter than willow, but relatively rare compared to willows' crowding of all pool and river edges even in their respective biomes. Easiest way to obtain hundreds of either would be to embark with dwarf civ who has access to one of them and spend embark points on it. If this is to your fancy, might be worth it to pick a dwarf civ with settlement on a tropical (moist for kapok) forest, though I'd expect it to be rare to have an application where the difference between candlenut and willow is important - minecart bouncers and safe landing surfaces being about the only ones.