I'm currently working on the first project that I've really intended as a "megaproject", rather than merely a large, but entirely practical, construction effort. While it's downright puny compared to the things that you guys are describing, I don't think it's that bad for a first try.
At any rate, it's a pair of towers 12 z-levels high, each with a 3-wide walkway spiraling around it in opposite directions. At the top, I'll connect them together, and once the scaffolding is removed, they will only be supported by the pair of 3x1 walls that the bottom-floor ramps are up against. When all is said and done, I'll have the two big spirals with caravans (and attackers!) going up one, crossing over, and going back down the other. Protecting the entire compound is a square moat 30 tiles to the side with a wall on top of it made of green glass blocks (yes, I have magma). As an added bonus, the whole thing is getting rid of a lot of rock because I'm building the towers with nothing but blocks, and thus I have four workshops going 24/7 churning out blocks.
I eventually plan to expand the compound to include such things as an outdoor meeting hall, un-ambushable lumber zones, and an outdoor-crop farm. Not that I need more farms, but still, if I'm walling off huge chunks of the landscape, I'm damn well going to plant a few whip vines in it.