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40d:Losing
Losing is fun!
Most new players will lose their first few forts; if you lose a fortress, don't feel like you don't understand the game. Dwarf Fortress has a steep learning curve, and part of the appeal is discovering things for yourself. However, this Wiki serves as an excellent place to speed up the learning process.
Autopsy
Various things can cause you to lose a fortress.
Losing your miners
If your miners are killed in a collapse and their equipment destroyed, chances are good that you will no longer be able to continue your efforts. Consider abandoning your fortress. Alternatively, you can try to keep your fortress running long enough to request additional picks from your Outpost Liaison, who will arrive with the next dwarven trade caravan. It will take another year before they will return.
Also consider the tedious but fun option of making buildings outside! If your woodcutter(s) with axe(s) are still available, then you can build structures of wood. This is not recommended for very new players though, as it is intensly resource-demanding and takes alot of managing to get right. (Also not recommended if you don't understand the z-axis system yet.)
Starvation
A serious danger, generally in the more inhospitable climates, is the loss of your dwarves due to starvation; if you are in the heart of a mountain with no soil to build on, it is possible you will not be able to establish farms. As dwarves begin to starve, they will become Hungry, then Starving. This will cause them to become very angry. When they die, their friends will become upset and will become even angrier, potentially causing the remainder of your fortress to break out in a terminal brawl.
Don't forget your alternative sources of food. Try butchering your animals, gathering plants, or resorting to hunting of local wildlife.
Dehydration
One of the biggest problems with a fortress that has no brook, stream, river, or other source of fresh water. Water must be rapidly gathered from stagnant pools and stored into an indoor basin or water tower, with sufficient depth before it evaporates. If this fails, all of the water on the map will evaporate and your dwarves will be left without any water.
Brewing can alleviate these problems, but in the future brewing will also require water.
Flooding accidents
The opposite side of the dehydration spectrum is having too much water. Remember that water can flow in (probably) all 26 directions. It is also worth remembering that, unlike water, magma will not warn you if you dig a hole in a wall diagonally to a the source, although it (probably) also does not flow up like water in the current version. This is expected to change later when Magma is programmed to follow the same type of flow physics as Water.
If your fortress is beginning to flood from sourced water, abandon all of the levels the water can reach immediately—drafting dwarves into the military and stationing them onto the surface if need be. You will never be able to recover those areas unless you can manage to pump out the water faster than it floods in, which can take over a year or two of game time to establish a functioning automated pump system. Generally, a flooding accident spells doom for your fortress.
Invasion
The goblins first come with about a dozen soldiers to siege your fort. Then they come again with about two dozen. Then three. Soon enough your traps are all sprung, your doors beaten down, and your dwarves are dead. Without some simple defenses, such as a moat, a horde of goblins on your doorstep can be deadly.
Volcanic Death
Toady has stated that in the future volcanoes will be much less stable and much more deadly.