Not putting this in suggestions because I don't feel strongly enough about it, and I suspect Toady has already thought of this kinda thing.
I think the current HFS is kinda weaksauce really. The procedural demons are all right but can be a bit flavourless (sometimes they're epic of course). The unending demonic horde is pretty cool. However, it's just plain too easy to beat. I've had half a dozen fortresses now where I've successfully built a staircase down to Hell and started making an obsidian farm there to build a fortress. A safe fortress in Hell. I usually get bored before i get far, but just the fact that I've been able to get as far as I have consistently is kinda unfortunate.
Personally I think:
1) the original nonprocedural demons should still exist. They should be located in special sites that are found at a rate of (randomly) about 1-3 per adamantine vein, so every fort gets several. These sites would be similar to the Pits of old, with decorations and stuff in them, and defended by the nonprocedural demons. Now that we have Slade they'd probably be carved into it, which would give 'em a nice nondwarven feel. Although analogous to the pits I'd love them to be different, maybe a muddy slade pit for frog demons while spirits of fire live in a small castle-like keep. Things like that. Once in a while most of an embark tile would be a demonic dark tower with all kinds of procedural and nonprocedural demons and a demon lord running the show. I see these being a bit more common than Slade Fortresses, which are presently a bit too rare IMO.. I've still never found one and I've breached HFS dozens of times. Might just be a matter of the kind of embark locations I pick.
2) There should be some kinds of demons that can circumvent the standard defenses. I wonder if the pathfinder would allow for a semitangible demon that could move through constructed walls, or through any non-slade non-adamantine wall. I had a couple more ideas that would be far trickier but far more cool:
-- spore demons. This would be a common procedurally generated demon syndrome that caused the infectee to incubate a demon spawn unknowingly. symptoms would be random, with stuff like fatigue, nausea, bleeding, and infection with no visible cause being likely options. After a time the dwarf "gives birth" to a spore demon of the same type that caused the plague. I think this syndrome would procedurally target a specific dwarven body part, and on birth that part would be severed... so if the demon grows in your head you're dead, but if it erupts out of your arm you might have a chance to start hacking it with your pick. Of course, then its infectious toxins get spread everywhere.
-- possessing entities. These demons would be among the most dangerous. After HFS is breached they become a type of strange mood... but rather than building things the possessed dwarf goes berserk. Bonus points if, after a while, the possessed dwarf starts to turn into a demon, gaining new body parts and materials. Even more bonus points if the AI of the possessed dwarves varies, so you might get one that runs around pulling levers rather than fighting for example, trying to free the other demons. If the possessed dwarves could spread spore demon syndrome on procedurally random occasion, we're really talkin.
There's tons more the HFS could have but the basic gist is: I don't think it should be lock-outable. There should be demons that can only be kept back if you rebuild the adamantine around the hole, and quickly... and there should be demons that can't even be kept back by that. There should also be more to do in Hell.
Anyway, that was just me venting. Like I said, though it reads like a suggestion I'm mostly just getting stuff out of my head cuz I am getting rather bored with the current HFS.