Mules are sterile hybrids of a donkey father and a horse mother in reality. In Dwarf Fortress they are indeed sterile, but cannot actually be bred from horses and donkeys, reducing their usefulness to becoming a pet or a snack on the hoof. They are available for selection on the embark screen for most dwarven parties and cost 101 points.
You can also recieve a free mule as one of the two draft animals for your wagon, depending on what domesticated animals are used by your dwarven civilization. Due to their infertility, there is no practical reason to purchase a mule over any other animal or foodstock.
For reasons unknown, mules lack a [MAXAGE] tag, so they will never die of old age.
[CREATURE:MULE] [NAME:mule:mules:mule] [TILE:'M'][COLOR:6:0:0] [PETVALUE:200] [PREFSTRING:stubborness] [LARGE_ROAMING] [COMMON_DOMESTIC][PACK_ANIMAL] [BENIGN][MEANDERER][PET] [BODY:QUADRUPED:TAIL:2EYES:2EARS:NOSE:2LUNGS:HEART:GUTS:ORGANS:THROAT:NECK:SPINE:BRAIN:MOUTH] [BODYGLOSS:HOOF][NATURAL] [SIZE:8] [ATTACK:MAIN:BYTYPE:STANCE:kick:kicks:1:2:BLUDGEON][ATTACKFLAG_WITH] [FAT:4] [DIURNAL] [STANDARD_FLESH] [HOMEOTHERM:10068] [LAYERING:100] [SWIMS_INNATE][SWIM_SPEED:2500] [TRADE_CAPACITY:2000] [MUNDANE]