I build fortresses with adventuring in mind. You know, many z-levels deep so they later get populated by monsters. I try to make interesting weapons too (not necessarily powerful), and place them in vaults deep inside. For example, a throwing weapon chamber that holds 30 exceptional bismuth bronze spears (nice yellow color!) and 50 iron daggers (I planned to stud them with sterling silver, but did not complete the task). Too bad pressure plates do not work in adventure mode, with them we could build more diverse and nasty dungeons to explore...
Further advancing the idea, it is always fun to build a museum. It may be a collection of your artifacts, or a collection of masterwork mugs made from every kind of material, or gems, or even a historical museum (while you cannot move/arrange engravings, there are other ways to get recorded works or history, such as image-sewn ropes and decorated furniture). You can also combine it with specific flavor, for example, make your museum inside a temple to Armok that features magma pools and everything in red colors. Or build a small temple to each one of your in-game gods.
Also, I once wanted to set up a so-called "sports facility" and train sportsdwarves. Imagine a gauntlet where you first need to swim a long underwater tunnel, then shrug off several traps, outrun magma, survive a high down fall, and finally fight some gobbos. I would build several such facilities of various difficulty, and keep track of every sportsdwarf's performed feats, giving them custom titles based on that. You may borrow the idea. As it guarantees many dwarves dying, it's quite a challenge to keep the
meat factorysports facility running and not succumb to a tantrum spiral.
Hope you'll benefit from these ideas, as well as other people.
EDIT: For some reason the forum currently lags so much that writing a post is piece of cake compared to the epic feat of fixing a typo