My goal is to have two maximum level skills per dwarf, in order that high quality items can be made immediately and pretty quickly, and in order that I won't have to waste a lot of materials and time leveling a skill if a better dwarf doesn't come along in the first few migration waves.
So my normal batch now is:
Miner/Appraiser
Mason/Mechanic
Woodcutter/Brewer
Carpenter/Armorsmith
Grower/Herbalist
Metalsmith/Cook
Weaponsmith/Stonecrafter
The idea here is to dig out crafts areas initially, and get the stonecrafter in there working 24/7 making musical instruments or something so as to be able to buy a decent amount of stuff from the first caravan.
While this is happening the cutter is cutting madly, the farmer is gathering plants and making above ground farming plots, the cook is cooking, the carpenter is making a few beds and bins, the mason is making a floodgate, a chair, a table, some doors, and some mechanisms.
As things are cleared out inside, industry and stockpiles are gradually moved inside to temporary, and then permanent, locations.
I normally go with enough food and drink that I'll make it to the first caravan pretty easily without making an underground farm, but if it's convenient to do this early I will.
I'll get the metal industry going if I have a volcano. Otherwise, things get a little touchy since it's not always possible to get a steel industry working well quickly without magma.
I didn't use dormitories until recently, but now I do. It's nice to put a few beds in a hall so that dwarfs have somewhere to sleep early on.
I haven't read all the responses in this thread. One that I did read and liked mentioned adding a point into moodable skills for dwarfs that don't have them. This is probably a good idea.
Stonecrafting is attractive because everyone is wallowing in stone if they don't have aquifer problems, because it doesn't take tools or fuel, because it can be got running quickly, and because it pays okay. The problem I'm having lately though is that unless I use flux or obsidian I end up with 3.5-5K or so worth of trade for the first caravan, which is kind of low. Also, the bin usage is always hellacious, and it's hauler-intensive. It may make sense to do something else.
I also have a lot of trouble with soldier training. I experimented with bringing a soldier but I didn't have a lot of luck with that. I usually rely totally on a trap hall, and get a marksman sometime hopefully before the second caravan, then end up with an enormous army of dabbling and novice axe dwarves later.
Traps seems cheesy to me but if I didn't have them I'd be dead.