I like to go with the "see what interesting ways you can kill a fortress" goal.
Think about it, the only way the game ends is when there are no dwarfs left, so this must be the win condition (there is a cheat, "abandon the fortress", but you are only cheating yourself).
I had a great game a few days back, everything was going well...
Then my top marksdwarf's baby died somehow,
She went ballistic and went on a killing spree until she was finally brought down.
A lot of dwarfs were unhappy with having a load of their friends die, so made themselves feel better by smashing tables, chairs, doors, workshops, beds, fields, kittens and each other.
After days of endless carnage the goblin circus arrived, and a fun day was had by all. Especially one child, who was chased around in circles until he fell asleep, permanently.
The last dwarf alive was one of my original miners (who killed 5 goblins and chased the others away).
Being a miner, I sent him to investigate around the magma pipe. I accidentally told him to trap himself in a channel and dig into the pipe.
I win!
I didn't time it properly but I think I went from 120 to 0 dwarfs in about a month and a half. My future goal is to finish off a fortress faster than that. Although I was pretty lucky, having only goblin migrants for the period in question.