The sorts of starting builds I tend to go with are... strange, I guess. I try to get a hell of a lot of mining and fortress layout done in the first year or so, so my starting strategy leaves me with a rapidly-dug fortress, some highly skilled dwarves... and no way to actually make my own food or metal items for quite some time.
I bring:
A Novice Appraiser/Novice Judge of Intent/Competent Stone Crafter/Proficient Brewer: This dwarf is the first mayor and the fort's broker. Early on, he makes stone crafts; later, he makes booze. I know it's a bit of a waste to spend points on stone crafter skill, but higher-quality early crafts ensure I can afford to trade for an anvil from the first autumn caravan, even if they only bring steel ones.
A Proficient Siege Engineer/Proficient Bowyer: This dwarf gets to excel in all technical tasks around the fortress. He'll do carpentry jobs, masonry and mechanics and building design, and all that fun stuff. He is the dwarven Da Vinci, and if he dies, I am very sad about it.
Three Proficient Building Designers/Proficient Mechanics: These dwarves are really miners; they just don't know it yet. I also make them engravers and masons. They don't get their own workshops (though they may mass-produce stone blocks for a while to clear away my loose stone), but their skill sets make them my go-to builders. They construct the fortress, whether I am building walls or traps or digging or whatever.
A Proficient Armorsmith/Skilled Metalsmith/Novice Weaponsmith: Before I buy an anvil and get forges set up, he is a hauler. After, he makes me shiny things out of iron. Mainly, I'm hoping to get a fey mood with him and end up with a Legendary Armorsmith.
A Novice Weaponsmith/Novice Axedwarf/Competent Shield User/Proficient Armor User: This dwarf chops trees for about a year or so, then gets drafted and keeps his axe. If he gets a fey mood, he'll make axes for everybody.
Things that have to wait until immigrants arrive include (but are not limited to) food production and soldiering. In the meantime, food I embark with and get from traders will have to tide me over.