Now, I'm sure this has been brought up before, and I've just missed it. I started playing a couple of months ago, and haven't read through the forums so far...
But still, I can't shake the idea and I thought I'd give it a swing.
No major modifications here, just a new form of challenge in the form of a new kind of Forgotten Beast / Megabeast with the ability to tunnel through earth and/or rock. Basically, as if mining. This, in itself, would of course make it possibly extremely deadly both through bypassing defenses and in causing cave-ins and other problems, but there are a few more twists to add to this:
1. These creatures need not at all be aggressive towards dwarves. They could simply be tunneling around, minding their own business. They could be mindless, and not even defend themselves from attack, or just be docile and attack only in defense.
2. They probably eat minerals, gems or choice kinds of ore. They would probably even be able to "track" their favorite foods. They could also, very possibly, leave behind useful products (such as eating minerals and dropping ore, or perhaps dropping gems, maybe even "cut" by stomach acids or another process). This would probably lead to all kinds of interesting uses for these creatures that I haven't thought of, including using them to track veins of ore and to run mining operations and let your dwarves lean back and sip some rum.
3. If they track their choice foods, dwarven stockpiles might prove an irresistible "draw". Imagine the "FUN" to be had when the giant cave worm gets a whiff of your gigantic metal bar stockpile and decides to stop by for lunch, perhaps completely unintentionally covering your entire metal industry team with his acidic excretions in the process.
There are of course many more possibilites. The main draw in this, to me, is that these creatures could pose a unique challenge to many fortresses designed to be "impenetrable", which sounds like fun!