Perhaps it's just because I've been reading The Black Company recently, but I've been thinking of the things mercenary companies could add to Dwarf Fortress -- not just individual mercenaries, but companies of mercenaries that act as their own faction, available for hire.
Naturally, fortresses, factions, and towns could hire them for muscle, defense, to put down a rebellion -- whatever.
But it would also be a faction that would be relatively simple to let players control in Fortress mode -- pretty much like collecting a big group of drunks and assorted companions nowadays, but somewhat more organized, and you'd look for different types of work (they might also expect to be paid -- you'd have to handle your company's work.)
Of course, leading a mercenary company wouldn't be like adventuring on your own. When you arrive in a settlement, people will react to the fact that you're basically a small army -- they might abandon their town and hide in the forest, or they might lock the gates. Disaffected youths might want to join.
You would be offered different sorts of missions as a mercenary company, too. Killing megabeasts, of course, but also fighting in wars, punishing cities, everything that players hire mercenary companies for... all those things. You might sign a longer-term contract, rather than just taking one mission, and join in a war on a specific side.
Mercenary companies would earn their own reputation. If you regularly slaughter innocents and are cruel to defeated enemies, people would fear you (which might have advantages.) If you win a lot, they'll fear and respect you. If you lose battles, you'll find it hard to get work. And so on.