Higher noncombat difficulty, or the ability to tweak settings to make the difficulty higher. Specifically:
I don't need farming to be (that much) more complex, but I do need it to not be so obscenely easy. Yes, yes, it still takes a lot of nifty architecture if you want to water it in a cool way underground. But once that architecture is in place, you don't need hardly any dwarves to feed all of your people--and besides, you can just set up a couple 4x3 farming plots OUTSIDE with a couple untrained dwarves, wall up the area with a staircase to your fort once you start getting invaders, and feed all your dwarves forever. Give me a tag in the raws to modify farming yield; based on current production = 1000, set humans to 500 and dwarves to 250. Oh yeah, and give me a tag for herbalism yield, too. Elves get 2000, humans and dwarves get 200. In the mod I would want to play, herbalism is most useful to get just enough plants for seeds...not to feed a 200-dwarf fort with like one herbalist. Food is too easy. I should need more dwarves on food. Yes, it makes immigrants more challenging. But it also means "Thank Armok! We have more hands for the farms!"
I would really, REALLY like a setting in the raws to change dig speed (and it makes sense that dwarves would have a tag to make them dig 10x faster than other races...so, let me reduce it). As it is, I would expect that dwarves get 1000 and humans get 200. In my mod, I would reduce dwarves to 200 (and presumably humans lower when that matters). More immigrants? "Thank Armok! Give the new miners these picks!" Oh, and if it's not there already, make dig speed depend on pick material and quality. Current dig speed is -steel picks-. Modifying these values isn't for everyone, since it would make megaprojects a lot slower, but...really, the big difference is between using four miners (who step all over each other anyway) and twenty miners. We're dwarves. There are times when we SHOULD have 1/3 of our population with picks in their hands. If THAT doesn't scream megaproject then I don't know what does. Oh yeah...and give us a raw tag for construction build+remove speed, too.
While I'm on the subject of mining modifications, it would be nice if the 'economic stone' screen let us specify minimum skill allowed to dig out different materials. Make high-enough-skilled miners prioritize the highest-requirement ore that they are allowed to dig. Improve mining priorities across the board. (Dwarves should always dig out what's nearby--don't change their pathfinding, as such, just USE pathfinding in places that they currently don't...or something. Dwarves should seek and destroy the closest mineable spot, even if another dwarf has claimed that square, too! Multiple dwarves should be allowed to work on the same square, which is important if dig speed goes down.) Oh yeah...And let us set DIG PRIORITIES, just like we currently set pathfinding hints (high/normal/low/restricted traffic). Let us tag mining squares as low/medium/high/critical priority. Dwarves never mine any squares that are lower-priority than the highest-priority squares currently accessible. That way, you can designate your whole first level all at once...including the entire width of your seven-square-wide hallways. Just set the outside of the hallways (which we're all used to putting off until later!) as low priority. Designate the simplest possible route to the first seven bedrooms critical. How many people have screwed up their fort design by forgetting that a certain square SHOULD be mined later, but they want their miners to prioritize something else first? Yeah, all of us.
More intelligent trade routes would be pretty cool too; it doesn't make sense that you can buy ten units of leather for $30, then craft it with zero skill and sell it back for like $300 to the exact same caravan. I know that this is already in the pipe, but caravan buying price really must be a value-added thing. If the trader's hometown can produce +leather clothes+, but the leather itself is in short supply, then he should value base-value 'leather clothes' LESS than the raw leather!! Really, what on earth can you add to the value of a piece of leather when you create a base-value object out of it? All you add is the time spent to create it...which is REALLY not worth taking a caravan trip to do.
Less lethal non-major-civ invasions. I go into the caverns and I have to wall off EVERYTHING, every passage from floor to ceiling, or giant bats fly in and bite everyone's heads off before I can shoot them and regardless of armor. That's not Fun, because it means I either don't fight anything at all, or I lose all my awesome crafters with no hope of military defense. Maybe that's okay two or three caverns down, but I'd like these constant threats to be less all-or-nothing.
...The first two improvements seem relatively simple, to me. Adding tags to the raws is a relatively common operation, and you just replace some currently hard-coded values with whatever the raws supplied. IMO, those new tags could probably make it into the next release or two, regardless of what else is in those releases. The other ones, not so much.