Your input has been really useful so far. The things that really confused/annoyed you from the start, that's what I want to hear about. Keep it coming!
From the start? Huh.
The embark screen is very unintuitive to a new player; there's no real indication of what the various things and skills mean, which items are important, and so on. Perhaps giving players a list of standard 'prefab' setups to pick from and then the option to customize those further for advanced players would be better. "Start now" gives a pretty bad setup IIRC, which ought to be easy to fix... but giving the player a list of a few specific setups and an explanation of each would be even better.
Likewise world generation and choosing a start location can be barriers to new players, although I don't think they're quite as bad as setting up your initial dwarves. A bad start location can really limit a player's options, and a new player often won't know that (although there's some warnings now, which do help.)
I seem to recall that the first time I stopped playing for a while was when an important Legendary dwarf died and I just said "screw it!", but I don't know if anything can be done about that.
Some things are impossible to handle correctly unless you know about them in advance. For example,
every new player is going to miss the first merchant wagons, because they won't know to expect it and they get no warning. I would suggest, instead of just making "the wagons have bypassed your inaccessible fortress", have the wagons wait a short while, giving the player time to build a road + depot (and tell them how to do it.) Often, on a flat map, the player doesn't really need a road -- the wagons only bypass them because they didn't realize they had to build a depot.
Of course, a tutorial might do better at helping with this.
The interface is certainly intimidating to a new player. Huge lists of buildings and buttons, without any real indicator of which things are important or essential, and which can be delayed or neglected. Several things are given top-layer single-button access despite not really being that important or anything that a player will use regularly (the artifact list, say, or the depot access display -- do those really have to be single-button commands?)
There's also many conflicting interfaces. Some things are done with dig-type designations, some things are done with depot menus, some things are done with zones, and some things are done with rooms/constructions. Often there's considerable overlap between them -- digging a staircase vs. building a staircase, say.
Items are oddly-placed inside of submenus, often because of when the submenu was made. Levers are listed under traps and not machine parts, for instance. Bridges are a top-level construction item, but floors are under the 'C' menu. Forges are under the 'furnace' menu instead of the 'workshop' menu, despite acting like workshops. It isn't obvious to a new player why the submenus are set up the way they are, making it hard to guess where to look for something if you don't already know where it is.
Adjusting a dwarf's tasks is a hugely important part of the game, but it's really kind of tucked away in the V-P-L menu, in a place that at first glance
looks like it's just for getting information about a dwarf and not for entering vital commands.
There's no way to review or change the labor settings on large numbers of dwarves at once. There's no way to see who the top X dwarves in your fortress with a particular skill are. These are major issues to a new player, because if they screw up the VPL settings or an important dwarf dies, they'll often be forced to go over all their dwarves by hand to fix things and assign new labors. A centralized labor-management screen would help a huge amount with this.
Job suspensions and cancellations are easy to miss and can cause confusion or headaches to people who don't know about them; I think more jobs should be 'delayed' and attempt to continue later when the situation that is obstructing them is potentially temporary.
The game spams you with a lot of information, some of which (births, striking unimportant stone, dwarves organizing parties, masterwork notices for a legendary dwarf that is churning out masterworks regularly) is useless, and some of which (job cancellations, say) is hugely important. Players have no indication of what's important; while it can be customized to an extent, new players won't know how to do that. (Births and striking unimportant stone are the worst, because they actually pause the game and move the screen for something that, usually, won't require any action on the player's part. Masterwork notifications are the biggest spam-generators on a large fortress at the default settings, though.) Of course, IIRC much of this is going to be fixed in the next version, but it still bears mentioning.