I have my depot inside. There's an S-shaped outer area with ceilings and an S-shaped inner area so the entrance dance is not a problem.
My trade depot room has just one entrance in the form of a pair of double doors (that's four doors) leading to my trade goods stockpile. Toward the entrance, I build my food storage, then workshops, then farms under the dirt near the entrance. In the other direction, I have my dining room and then my communal bedroom. The dining room has a table and chair for every third dwarf. One defines the room as a meeting room. Another one is the leader's dining room.
My communal bedroom has every bed defining the room and assigned to a dwarf. It's far enough away from the workshops that they never hear any noise. The leader's bed is here.
Somewhere with good floor materials I stick the leader's office. Next to it I make a few other offices.
Everything is smoothed until the single engraver gets to legendary, then he engraves everything. Artifacts get stuck in whatever room isn't royal yet. First the dining room, then the communal bedroom, then the leader's office.
I generally have one of each profession to maximize skill gains, and the rest are haulers.
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Another interesting option is one I've tried combining quantum stockpiling. You have a quantum stockpile with dump zone that holds every item in the game except artifacts. A separate stockpile in your treasury holds only artifacts. You also have a big booze stockpile and a big food stockpile.
You set objects you want to stockpile to dump instead. The dwarves leave everything in that stockpile, right next to your trade depot. Workshops get cluttered, because there is no stockpile space to create a hauling job, so you have to manually dump goods from them.
It's more work, but it completely solves the entrance dance for the burning sock (remember, there are no stockpiles to request the sock or however it works) and it saves so much stockpile space. Your loading and unloading of the trade depot is also as fast as physically possible.
Again, most of my dwarves end up as haulers.
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A third cool option is the airlock fortress. This is primarily a way to prevent haulers from eating up all your food and to keep tantrums from kiling your valuable dwarves.
You have a trade depot inside. A set of floodgates outside and inside. Next to the trade depot is a big stockpile that holds everything.
Skilled dwarves come in and never leave. They never meet the outer dwarves. The outer dwarves can burn and die and the inner dwarves who matter will never care.
I haven't tested this long enough to tell you if cats will adopt dwarves from a distance, which could be problematic if the cats are all outside dying. But this system lets you bring in all the wealth from outside (trees, fish, berries, bones, leather) and trade without seeing the outside. Just have your broker outside talk with the traders, load them up with finished goods, and buy their junk. Get the dwarves out of the trade room. Then close the outer airlock, open the inner one, bring in all the raw materials, and replace them with new finished goods.
Say a seige comes. The outer dwarves, who are tough as nails from fighting and hard work, kill and die. They learn some fighting skills. They pick up armor and weapons and tools from the dead dwarves and keep on fighting. New immigrants come and fill the ranks.
Plus, you never have to worry about cave adaptation, because the dwarves who are inside are never outside. And seiges cannot enter your fort, if you put in channels in front of the floodgate airlock outside to keep them from touching it, and a retracting bridge to let the outside people into the trade room.