this is what i do.
no danger rooms, my military gains skill by way of practise and hard work.
no iron or coal, there doesent seem to be any of either on this world, for some reason. just loads and loads and loads of copper and silver. it seems to me that importing all of your bronze, iron, and steel requires you to set up an industry before metal, and it takes years to actually get enough to be worthwhile.
imperfect security, sure, i can seal my fort off from the outside world, but what's the fun in invulnerability without an achilles heel? personally, i have an unwalled opening into the third cavern layer. i do have cage traps, but the things that can actually cause problems tend to be trapimmune anyway.
projects, nothing like a megaproject. but gratifying all the same. it took almost a decade to build my obsidian tower, complete with pump fed moat. the last 5 years or so have been refinements to the design. sure, it's only 1/10 the size of the 70-z dwarf that pisses magma OR water, but i did it under constant attack. there's nothing like trying to get a minataur out of your future power canal with woefully unskilled and wounded troops.
along with projects is !!SCIENCE!!. right now i am trying to see if i can get my duchess married to my king, and if so, if i can unify the succession of both titles. there are other tests i wish to run as well, but those are on the back burner for now.
way i see it, DF is what you make of it. if survival is all you have, you'll lose interest fairly fast. survival is not the toughest challenge out there. granted, survival takes a few tries to get the hang of, but this is to be expected of any "simple" task in something as complex as DF.
i can think of a few interesting challenges, offhand. how about an all foreign weapon military? terraforming the entire embark? the ever-classic "fortress built with exploring in adventure mode". mind you, this is not the same as "fortress for equipping and training adventurers". how about embarking at war with the humans or elves... or both?
in a game where you can do nearly anything that you want, there shouldent be too much trouble finding something fun to do and a !!FUN!! way to do it.