Nothing but lead and copper all the way down through three cavern layers, the magma sea, and semisolid rock. I think I'm simply out of luck.
What seemed odder to me is that even the goblins don't have iron. Is that normal?
it can be -- I think it depends on what territory the goblins grab for themselves on the world map during world-gen, and whether that territory has iron ore in it... if you happened to generate a world without much iron ore to go around the goblins may have run into the same problem as you.
I guess if you're totally stuck without iron, think of it as a challenge: you'll have to come up with alternate means for arm yourself and defend your fortress. If you've got some copper, use that and try to make bronze if you can find the tin to mix it with. Only use metal for things you *have* to -- like use wood or bone or shields, crossbows, bolts, etc. I'd probably rely heavily on Marksdwarves behind fortifications as the lack of armor won't matter so much then.
Probably also build lots of traps, and maybe engineer yourself some sort of water or magma-based defense system, like a flooding "kill room" to trap the goblins in... or make a winding narrow path of traps many z-levels high as your entrance and build traps on it to try to get the goblins to dodge off the edge to fall to their deaths.
You can also import a small amount of iron and steel from the caravans -- use the sliders to request as many iron and steel bars as they'll bring you, plus request iron and steel weapons and armor, and iron/steel anvils which you can melt down into bars (1 to 1 return on melting anvils I think) to turn into something else. Keep doing that every season and eventually you should get enough to decently equip at least a handful of dwarves to augment your massive squads of marksdwarves and traps and things.
That's what I was doing in my current fort until I lucked out and found that random hematite vein way down deep, anyway.
--nomad_delta