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[Ockad]

I am curious what other people are doing first.
Don't hesitate to write down more steps.

I myself, first begin with digging the entrance of my fortress.

[eggrock]

I like an approach similar to the newbie tutorial.

1) Dig out entrance and farm area by a pond and flood it. No labors enabled for the miners except mining.
1a) Chop wood, gather plants. Primary cutter/gatherer get hauling labors removed

2) Dig out small storage area and designate food & furniture

3) Dig out carpentry area, designate wood storage and build carpenter's workshop

4) Dig down to first layer of stone and create a small area for masonry and stonecrafting (+ build workshops)
4a) Dig out and designate one of the 3x3 rooms as Finished Goods storage for the stonecrafter

5) build beds & bins, and I usually throw a bucket in there just in case

6) Bedroom (barracks), small gathering area, deconstruct wagon

7) Channel/remove stairs so the entrance is mostly isolated. Build bridges & levers.

Expand

[Ockad]

Exactly, that is how I do it as well. But I deconstruct the wagon much earlier, for safety reasons.

[FearfulJesuit]

I save embark points by bringing no axes. You can still get away with this- just deconstruct the wagon, build a carpenter's workshop, and a wooden training ax.

[Ockad]

What do you spend the embark points you got from the no axes on then?

[iEpinephrine]

First I make my miners start on the entrance hall to the fortress and have my other workers deconstruct the wagon and shift all the goods I brought to stockpiles near the entrance, food goes inside as quickly as possible.

Build a masons and carpenters workshops inside, then move wood, then everything else.

I generally embark on evil areas so if nothing else you want 1 door, and food.  Everything else can be furtively snatched from above ground as the coast becomes clear.

[Ockad]

Evil areas are more fun?

[FleshForge]

Evil areas often have some interesting stuff in varying combinations, like silverbarb (high value booze, dye) and phantom spiders (above ground webbing) and friendly neighbors like ogres and harpies and werewolves.

[Psieye]

While it's not the very first thing I do on embark, breaching all 3 caverns and having magma workshops is something I get done before the first summer arrives. Flat embark area and a lot of idlers micromanaged to wall off caverns immediately. Then I build my fort vertically with the surface for trade and lumber and the depths for housing and the magma for my first industries. Stone crafting is an immense waste of time in my book, though when I have spare dwarves I will pursue it to see what fun crafts I get out - definitely not something my starting 7 should ever deal in.

[Chocolatemilkgod]

Easy:

1. Design fortress in my head
2. Impliment idea into game
3. Get food inside ASAP
4. Make a farm and woodcut
5. Make a simple moat w/ bridge
6. Make wood/stone stockpile and build basic industries
7. Make rooms for dwarves
8.
9. Profit!!

But thats the general idea.

[The Merchant Of Menace]

I assign woodcutting to all dwarfs, the first person to grab the axe, I kill, the first person to reach the corpse, I kill, The next one, I kill. After that I dig out an area, and collapse it on the bodies, preferably killing the miner in the process. Then I dig out living space and such.

[Lord Vetinari]

1 - I search for a place where stone is close to the surface and I start digging the main entrance there. I don't like to have my first floor in soil, I want it to be fully usable for anything. I usually designate all the basic structures (stockpiles rooms, workshops, dining room, first dormitory) since the beginning, than disconnect the digging areas and reconnect them one per time.
2 - While the miners are working, I order some wood cutting and plant gathering.
3 - When the entrance is done, I set a temporary meeting area using activity zones in it, to avoid too much bad thoughts about rain, snow, death by excessive cold/heat, etc. I start to connect other designed digging zones, usually I start from the future food stockpile with connected still and kitchen.
4 - After someone eats some of the gathered plants, I set a garbage stockpile and a small above ground farm. It'll be good for booze variety and it's faster to set up than an undergound one (especially because all the miners are busy diggin all the other stuff)
5 - After the food and dining areas, it's time for a large room with two small 4x4 rooms in it, which is the beginning of the workshops area. First furniture and finished goods stockpiles, so that I can destroy the wagon as soon as possible, than wood, carpenter, quantum rock stockpile, mason. Cloth stockpile and a single ammo + weapon + armour warehouse follows.
6 - As soon as the workshops are done, I start making beds, tables, chairs and doors. In the meantime, I start digging the first dormitory.
7 - Once all the stockpiles are finished, I dig a trade depot room near them. Wagon finally slated for removal. Dining hall set as meeting hall.
8 - Other workshops rooms, all 4x4. One per every kind of workshop. I like to design all of them as soon as possible (even if probably I wont' use them for a while), to manage moods. I make other doors at the masonry, so that I can lock the occasional moody dwarf that can't get what he needs. The craftdwarf is the first new workshop, second is mechanic. While the other workshops are designed (waiting for some immigrant with the right job to build them), I make sone mechanisms and maybe some rock blocks (but not always).
9 - I start digging the personal rooms area. I usually like to have some kind of central shaft, so I may start digging it too.
10 - When the mechanisms are done, I design the drawbridge that closes the main entrance and it's opening lever.

Once the lever and the bridge are connected (usually it's late summer or early autumn), I consider the first phase done, it's time to expand the fort. Nobles housing, first phase of the acqueduct, power farm, necropolis, hospital, central shaft (whic will eventually become a statue garden), main entrance fortifications and decorations, underground farming, search for magma, roads, stationary bridges (aka floor, ramps and walls) over gorges if it's the case, etc.

[Ockad]

That's interesting guys!

[Cydonian Monk]

The first thing I always do is build a wall around the wagons (with a drawbridge/moat to one side).  The second thing I do is build a floor +1 z-level over the wagons, only accessible from outside the walls, to keep out buzzards and flying pests.  This bunker requires 88 blocks (or 440 embark points), but protects everything else I bring, and serves as an entrance once the wagons are empty.  (I use all 10,000 embark points....  I'm not much of a fan of the 150-point challenge....)

Then, if there is an aquifer, I start breaching it.  Followed by designing the water system and farms.  That typically uses up the first two seasons, and Autumn is spent building a ramshackle Trade Depot and pounding out a few extra mechanisms for trade. 

But the first thing I always do is build a bunker around the wagons.  Keeps the monkeys and birds out.  (Well, unless I turn off invasions, in which case it keeps nothing out, but I still build the bunker anyway.)

[SkyRender]

Usually goes something like this (after pausing and finding a good site to dig):

1. Designate first workshop and living floors for mining.
2. Designate all trees and plants around the entrance to be gathered/chopped down.
3. Adjust labors for Dwarves so Miners only mine and everyone else can do masonry.
4. Designate a stockpile that takes everything save garbage, corpses, and wood outside the entryway.

 After unpausing, it goes something like this:

5. Build carpentry and masonry workshops ASAP.
6a. Build 7 beds, 5 stone tables, 5 stone chairs, 10 stone doors; construct them too.
6b. Build an outside wall from stones; clear away any problematic trees and be sure to fence ponds that feed into the fort proper.
6c. Dig down further to find magma; patch up any holes into the caves made pronto.
7a. Establish the farming area and flood it with a nearby small pond.
7b. Get the bookkeeper tracking.
7c. Construct the entryway trap corridor and lay down some cage traps in it.
8. Once the magma sea is found, build a secure forge area and set up magma smelters.
9. Smelt steel and forge large, serrated steel discs.
10. Buy out the first caravan and laugh the entire time.