My first thoughts?
I got into it because I saw a link to Boatmurdered off of TVTropes, so I had a fairly good idea of what I was getting into (aside from 3d) from that alone.
I think my first thoughts when I started actually running the game was "OK, so what should I embark with, and focus on first".
After reading through most of the wiki, and actually having a good enough idea of what I was doing to start actually playing the game, I dug into a sand hill next to the mountain I had embarked near, and then immediately struck microcline before hitting any of the actual layer stone that was supposed to be making up the mountain.
If that's when you consider I first played DF, then my first thoughts were "Oh? It's announcing I struck microcline. That must mean it's important. It is a cool cyan color, so I'll try to make my initial statue/meeting hall out of this stuff."
Other than that, I also opened up the raws, and started trying to modify things and experiment with what I could do in the reactions and made new creatures before I had ever made a fort.
To be honest, I've never really cared about any of the military stuff in this game, and don't think severing limbs is terribly cool, what with having done it a million times before with games that actually have graphics (which even then only gets marginally amusing in things like Fallout 3, where you can blow off limbs with shotguns, then strip bodies nearly naked, and drag their limbless torsos into fires or such).
The only thing really unique about this game that can be considered its strongpoints is its ability to make really complex machinery, and the degree of flexibility promised in the mods. This game's depth and complexity really leave something to be desired, and I was initially dissapointed in how little complexity this game really has after how much I'd heard it hyped.