Try designing a fortress before you embark, with QuickFort. I had a fortress design I spent hours on to make it efficient and to allow manipulation of strange moods in 40d, and I just started playing again so I re-designed my old fort in Excel. I have a digging plan laid out and ready for QF, and another, layout file for reference. I can clean up the layout file if you want and post both of them, but you'll need Excel or OpenOffice's equivalent to read them I think, unless there's another one I don't know about.
Try playing the game slowly by limiting the number of immigrants. Set the population cap at 20, and you'll only get one wave of immigrants; you'll only need one crafter of any type this way as you can take the time to level them each up to legendary. You'll also get enough strange moods to level a few without any real effort; if it doesn't bother you, you can use Dwarf Therapist to trigger strange moods when the mood counter is ready, in order to control who gets them. You can get by with two dining halls and only one bedroom, build a piece of artifact furniture into each (Dwarf Therapist is also helpful here, until we have display cases to add value to a room from non-furniture). Assign each bed and each table in these rooms to be individual rooms encompassing the whole room, and even WITH the drop in value from rooms overlapping, you'll have every dwarf sleeping in a room like a personal palace and eating in a personal legendary dining hall.
Once you have the legendary crafters you need to keep a stable fortress and assure your income forever (legendary brewer/cook/grower, legendary stonecrafter, possibly legendary metal/weapon/armorsmith, a couple of legendary soldiers) and a secure fortress setup you increase the cap and allow more dwarves in. You can go however fast you want this way without worrying about losing dorfs or getting unmanageable sieges. It's also nice to be able to stop worrying about everything simultaneously once you have a more or less self-sustaining fort, and focus entirely on leveling up difficult professions like the whole tailoring/dyeing/threadmaking combo, and work towards masterful cloth items made from masterful thread, masterfully dyed.
This is basically how I play. As you can see, I'm more concerned with being perfect and efficient than with respecting 'rules'. I play DF like it's Sim City; a building exercise. I guess I'm not very dwarfy in some respects, but anyway it's something different.
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Also, an easy megaproject that anyone can do and which serves a purpose, is a giant stone tower rising into the sky to hold your extra stone. For those of you who don't like abusing quantum stockpiling of stone but do like clean floors, just turn a portion of the stone into a tower with floorspace for more stone. If you ever actually run out of stone you can just deconstruct some of the tower.
In 40d, since underground was still undeveloped, I made sure to embark on a location with underground water (for towercaps) and then flat out made my own giant underground park. Three big overlapping round rooms, which tapered down a couple levels, each of which had a giant stalactite in the center. I can't remember if I ever got around to doing this part, but I had a drain in place a floor below their bottom level (and an attached drowning room) and the idea was to flood the entire thing, and then drain only the top floor or two, leaving a series of lakes. I actually had the plumbing all set up. I don't know if there's any real reason to do something like this with the current underground system already being pretty interesting, but it's an idea.
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From the way you're talking, it sounds like you might want to build a self-sufficient fortress and then set about conquering the underground instead of building megaprojects. You can use part of my strategy to do that if you want - prepare your fortress slowly, train some military, and then go out and conquer. If you do that you should copy your save at the point where you're ready to begin conquering but haven't yet, so if you screw up you can do it again (or if you just want to try doing it differently).