Hmm... Well this looks like a good post to end my lurking career with..
First off I want to say that I've only been playing for a few months and haven’t come close to playing around with every feature yet (in fact, I usually start a new fortress around the fourth year no matter how I'm doing) so there's likely a good bit I can't comment on.
1. The ascii graphics were one of the largest obstacles for me to overcome. I don’t have any particular dislike for ascii/text-mode games but until you get used to what every character is supposed to represent it's extremely confusing. Including a tileset/graphics pack with the game, even as just an option, would help a ton here.
2. There is a severe lack of highly visible documentation outside of the wiki. It's great that there's a link to the wiki in the game's "hi, this is an alpha release" screen before you start playing, but it's really just not visible enough (maybe move it to the title screen and put it in a highly visible color or something). Also, tabbing out of the game or looking at another monitor every time you need to look something up (which is often when you start) causes a sort of mental disconnect from the game, never a good thing.
3. Tons of items, no in-game -useful- description (especially when embarking). "Potash? What the heck is potash..." *insert wiki search here* "Oh, its fertilizer.". That was essentially my thought process for most of my first few gaming sessions. The ability to get some basic information on items, especially when embarking, would go a long way towards relieving some confusion.
4. Menu's - There's only really two menu's in game that I have issue with, so I'll just look at those.
Unit Menu - Putting it bluntly, it's clunky and barely usable. Hitting "u" brings up the list of units on the map, easy enough. Now scroll through the list to find the unit... then hit appropriate key for next menu... then appropriate key again... depending on the option you have to then scroll through more options... etc etc. This is an issue which becomes even worse as the game progresses and more units show up.
Splitting into sub-menu's for player units, animals, hostiles, deceased, etc would help reduce the clutter, full mouse support for point&click selection would help as well.
Trade Depot Menu - Again, clunky and barely usable. Only through using bins/bags is this even remotely functional. The sheer number of items that you (or at least, I) have to trade after the first year or so is huge. And yet we have to select each individual item (or bin of items) to be moved to the depot. And then we have to go through yet another list of undwarfly length to select them again to offer them for trade...and THEN a third list to see if the traders brought anything of value.
Splitting the screen of available goods to be moved to the depot into categories was a good start, but this really needs to be cleaned up further. I actually timed myself a few nights ago, it took me 12 minutes just to select all the goods I wanted to trade... that’s a LOT of key presses!
5. Difficulty - I guess this is something being addressed in the upcoming version, but I'll mention it anyway. The game is simply too easy. Yes, there are many ways to lose your fortress; Sieges, floods, magma, tantrum spirals, hunger/thirst, dragon's looking for a quick snack... But none of these seems to present any real threat at the moment.
-Sieges are easily neutralized by a single locked wooden door (seriously, 40 goblins and not one thought to bring a battering ram or something?).
-Flooding and Magma incidents only really occur through poor planning on the player's behalf (do they give out Darwin awards for dwarf fortress?).
-Again, Hunger/thirst is easily avoided by either acquiring food on your own through the available skills or simply trading for it (1000+ food for 12 minutes of pushing + then enter!).
-The only megabeast I've had experience with so far is the dragon, but it died fairly easily to a small group of trained wrestlers (dwarven clothesline of doom!).
-This leaves tantrum spirals, which (for me) seem to be the most problematic. Last map a kobold snuck off with a scepter I crafted, which made someone's wife miserable... then she fell in a chasm, which made the husband miserable... so he drowned himself, which made his friends miserable, who threw tantrums which... well, you get the idea...
Now, I'm not really complaining about my having lost the fort to a tantrum spiral (it was -epic- to watch), but it just seems odd to me that a kobold thief stealing a scepter (that I was going to trade away anyway) is more dangerous than a goblin army.
Overall this game is full of win of dwarfiness, but there's a bunch of rough spots left. Can't wait to see the next version :O