I will say, on ummm 5-year old comp technology (my last tower, I recently upgraded) I would encounter really awful things when playing on larger than 6x6.
Specifically, the game would intermittently hang for about 3 seconds, or even longer on the largest selections I tried. Freaking annoying to play around so I pretty much gave that up.
Not sure why, I believe people previously theorized that pathfinding is dangerously expensive on the larger maps, particularly if you end up with a bunch of Kea or whatever at your doorstep.
There is one situation where larger map embarks are useful: scouting for unique or interesting geological formations. I will often embark on a 8x8, scout for the estimated 4x4 that would pose the most interesting questions when building, and then kill the process w/ DFhack and go and reembark. Also, this lets you scout mineral composition, which lets be real, who doesn't cheat after playing this game for years. . .
I will also say that the terrain generator is MUCH less interesting when viewed at this zoomed-out scale. The flaws or incoherent mashing of various grids is much more... obvious, and so I really do think the smaller embarks prove more interesting. Plus, with over 100zlevels on most maps, you have plenty of vertical space to work with.