Hi!
Eagle: Actually, I can confirm that living giant eagles are mostly harmless (and have a real knack for getting caught in the only weapon trap on the entire map early on). I just figured that undead critters would be nastier and their flight ability would render the mentioned standard defenses (moats and walls) useless.
As for unicorns, that is a historic thing. The current unicorns are said to be quite peaceful, but for quite a while, unicorns were really extremely hostile. If you sent out a dwarf to pick up something in a forest or cut a tree or fish there while a unicorn was nearby, chances were that the unicorn would go out of its way to attack the dwarf. So, it was not so much about unicorns being tough, but about the unicorns attacking your dwarves without any provocation, making the outside world extremely dangerous for any non-military dwarf. Add to this that this was the time when health care more often than not ended in the dwarf dying of dehydration or starvation, then you can easily see how they got their reputation. After all, they didn't need to kill the dwarf outright. Just giving him one injury was enough to send him to rest and then rest in peace as the health care system made sure he wouldn't recover.
Actually, this discussion made me wonder about another thing: If you have unicorns and undead critters on the same map, will they attack each other because of being evil and good? Or do they keep up the animal peace treaty?
As for having a challenging fortress, I thought of a few other aspects.
First of all, there are several exploitations people regularly make use of:
1. Moats/channels not filled with water are impenetrable.
2. Weapon traps are extremely powerful.
3. Alcohol can be cooked into lots of expensive meals.
4. Trade rates in general are really favoring your fortress.
5. Invaders bring more wealth into your fortress than you can create in the same time yourself (at least once you get ambushes/sieges)
Mind you, I am a mediocre player interested in a peaceful game, so I am actually using exploits 1,2 and 4 myself (5 does not work currently, as I have no goblins around). But if you think that the game is too easy, then one option is to refrain from using features which are unbalanced or outright bugged.
Another aspect I thought about was revelation. How many of the people complaining about the game being too easy have HFS/cave/underground river/magma presence revealed when selecting their embark site?
Personally, I think that having all that information provided takes away a lot of the excitement. It is a totally different thing whether you dig down to the deepest floor knowing there will be HFS or whether you dig down not knowing what to expect: HFS? Magma? Underground river? Nothing special?
As people have suggested, the unknown is adding to the excitement. If you don't know whether you have magma, you have to first plan without it. When you find it, you have to correct your plans. But then again, it may well be that you don't find it (unless you start on a volcano, of course :) :) ).
Finally, fortress mode is a sandbox game, so you are to choose your own goals. One form of excitement is definitely the danger of failing at your goals. Survival has (in my eyes, fortunately) become less of a challenge in normal regions, but if you select some specific goals, you can again provide things that can go awry.
Ah, and as for the creature issue, basically the most powerful creatures around are archery units and former player characters. If it is still possible to occasionally get dwarf civs who are at peace with the goblins, you might wish to first train a few nasty adventurers and align them with the goblins, and then start the game with a different dwarven civ not at peace with the goblins and hope for the adventurers to be among the siegers.
Deathworks