Thought this up a while back, so I figured I might share it with y'all.
The basic premise is that your dwarves (or whatever) are either the prehistoric version of your race or some sort of weird Luddite cult. Whatever the case, they are prevented from doing a number of things. These include:
Digging
Woodcutting
Farming
Constructing buildings
So, yeah... As you can probably tell, that limits what you can do rather significantly. It's not called a challenge for nothing, eh?
You're allowed to set stockpiles and such, but your food-gathering actions are limited:
You can't farm, and you can't cook (no kitchen), so seeds are pretty useless. Just get rid of 'em (or, y'know, don't. Nothing saying you have to be tidy). You can fish, but you can't clean the fish (no fishery) so they can't be eaten. You can hunt, but you can't butcher the animal (no butcher's shop). Basically the only semi-reliable method of getting food is herbalism.
MODDING NOTE: If you change the entry for your creatures, you can add the [BONECARN] tag so that they can suck the juicy marrow from all those bones that turn up. This has the interesting benefit of making hunting actually useful (punch it to death, let it sit in the sun until it rots, then eat the bones that are leftover).
As you won't be able to create any underground (or even indoor) areas on your own, it's recommended that you settle in an area that already has some. Caves are the obvious choice, with the various pre-settled areas coming in a close second.
You'll also need to settle in an area with a good water source, so your folks don't die of thirst.
MODDING NOTE: It might be a good idea to remove the alcohol dependency if you're playing as neandwarfthals, since you won't be able to get any.
Since you'll be churning out a lot more useless garbage this way, you'll probably need to set up a quantum stockpile off a cliff or something. You can also use an open magma pipe, but that has its own dangers (especially since your dudes will all be wrestlers, at most).
As you can see, you won't be getting very far if you pick this challenge. However, it is different and it is a challenge. It's not a "savage" run, where you just let the dwarves fend for themselves, so you feel somewhat more involved with the whole affair.
Variations include deconstructing the starting wagons to allow for a trading depot or some essential buildings, and tech-free farming.
A couple things that should be noted are that this really should be played with modded creatures (alcohol dependency, bonecarn), and that you should absolutely not bring animals with you. They'll breed themselves silly, and without buildings you won't be able to do anything about it. This problem can arise on its own if your starting pack-animals happen to be "compatible".
I'm not entirely sure if rotting fish will produce bones. I'll run a couple tests to figure it out.