I used to buy the caravan drink for the barrels, since wood was usually relatively rare for my forts and therefore precious.
With the caverns and such in more recent times, though, wood is far easier to come by. I still buy the booze, though, and now usually buy most of the >10 dwarfbuck food as well. My main export is roasts. For the first caravan or two, if short on exportable value, you can quickly buy some expensive ingredients (like cheese), turn them into roasts, and then sell (at a huge markup) the now-processed food to the caravan you'd just bought it from a few days prior.
Later on in a fort's life, I'm usually overflowing in roasts and goblin-dropped clothing, so I'm searching for anything of any value at all to buy off a caravan so I can get more stuff sold & out of my fort, and food & drink have at least some utility. It does mean that my farms shrink as my forts grow, which feels rather odd - a ~10 dwarf fort might have a 3x9 farm, but a ~60 dwarf fort usually has a 2x2 farm or smaller.
I'm slowly convincing myself to just atom-smash or LavaFlow-dump more and more of the invader clothing and dead merchant droppings, which means less stuff I need to get sold. With less desperation to maximize imported value and caravan weight loss, I'm being pickier about what food to buy - it's a lot of hauling for minimal gain - but still tend to grab the booze, as it's nice for variety in case my own small booze industry has gotten skewed, and for the dwarves that like surface-crop drinks.