Picking a starting region to build your dwarf fortress is a delicate work. Take a look at the list below and consider what you might need in your fort.
 Visible features
Cons: Little wood or stone.
Pros: Infinite source of water anywhere on the map
Cons: Difficult to get under to access stone and minerals
Cons: Some dangerous river creatures
Small lakes are present in pretty much every other tile of the world.
Cons: Saltwater is not normally drinkable
Cons: Magma monsters, strange mood crafters -demand- magma forges
Cons: May tax the system slightly
 Hidden features
Pros: Provides an easy way to delete items and drain liquid. May also contain cave spiders.
Cons: Often contains monsters, and sometimes the dreaded giant cave spider.
Pros: An infinite source of water. Discovering this lets you grow tower-caps on subterranean mud, and also provides a decent fishing location. May contain cave spiders.
Cons: Discovered early enough, it will usually contain monsters. As with all infinite water sources, one mistake could end up permanently flooding half your fortress.
Pros: Discovering this lets you grow tower-caps on subterranean mud, and also provides a decent fishing location. May contain cave spiders.
Cons: Will always have monsters. As with all large bodies of water, one mistake could end up temporarily flooding half your fort.
Pros: A magma pipe is an infinite source of magma, which can be used to perform most metalsmithing operations without the use of coal. Magma pools are not an infinite source, but still contain magma.
 Glowing pit and Adamantine
Pros: Adamantine is the best material in the game.
Cons Pros: Breach the glowing pits and all hell will break loose. For more details, check the Demon article.