I think this question could get quite deep, really. So let's have a try:
DF is a work of art. Toady has given a very distinct feel to the game, given it very distinctive themes and motifs which are interesting and compelling.
DF is a work of no small intelligence. This not only applies to the programming, but to the thought processes underlying various design decisions. Consider the realism in the geology - if I'm looking for various types of ores, I'll need to look in the appropriate rock layers. Thought is given as to how various in-game events would affect mood and how different personalities might respond to a given event. Wounds are treated realistically, not abstracted to a great extent. All these details create an unparalleled suspension of disbelief, thus making the experience one of the most immersive in the gaming world to date.
Considering the level of detail, it is surprising how much flexibility and freedom the gamer is allowed. This not only applies to the design and construction of your fortress, but is expressed even in the choice of ASCII as the default graphics option. Providing few graphical details means the gamer is forced to mentally enter the creative process, imagining the details themselves. Consider the different era Fisher Price figurines: the old version, which I grew up with, had very few details. A ball on a cylinder represented body shape, a simple dot each for eyes and nose, a thin line for a mouth. The modern version is kitted out with detailed hair, clothes, accessories. Obviously a ploy to sell more toys, but in actual fact it has been shown that children prefer the older version - it allows them greater freedom to imprint their imagination on the toy, more control over the imagined personality and personhood of the toy in question, thus more control of the game. Same thing with Dwarf Fortress, I think. Hinting at details rather than expressing them creates a more immersive experience.
I could say more, but I'll spare you. (/lecture)