40d:Challenges

There aren't any major game-controlled goals to achieve in Dwarf Fortress. If you need a more goal-oriented playstyle, then you have to set some goals for yourself.
If you are a new player, don't bother with these before you have learned the game better!
The following goals are picked from the bay12games forum thread "Goal-Based Dwarf Fortress".

Goal List

Remember, these goals are only ideas to what you can set for yourself, and can in no way be controlled by the game. And they are for fun, or for challenge. (or both)

Fun goals

Gone to the Dogs

Replace the starting Anvil with an equal value in dogs.

Human Alliance

Playing as dwarves. start a game centered on a human town. Your goal is to build a wall around the town in stone, using a mine under the town. you do not get to take anything from the town, though the human guards will probably help with any sieges. Bonus Points: after finishing the wall and sealing any cracks, dig down to the aquifer again from the outside and run pumps up the wall. Flood them out of your new town!

Challenge Goals

Refugees

An army is marching to lay siege on a dwarven city - and you've been tasked with providing for the refugees. Build a fortress capable of housing, feeding, and defending 200 refugees.

Stealth

You've been tasked with creating a hidden outpost close to a goblin lair. Impact the outside site as minimally as possible - dig down right away, deconstruct the wagon ASAP. No building outside or even going outside.

Shrine

You've been tasked with designing a temple to some dwarven god. Aesthetics count - the king will be very disappointed if there's no domed ceilings carved with frescoes.

The Great Brewery

Disaster has struck the kingdom - a ‼suspicious peasant‼ made it into the greatest brewery of the empire, and as a result the whole thing burned down and exploded roughly simultaneously. No time for weeping - you've been chosen to create its successor. Construct a fort dedicated to the production of alcohol - of as many varieties as possible, not just wine, ale, beer and rum.

Diplomacy

Five courtiers of the king's court made some ill-advised remarks within earshot of the king, and as a result have been ordered to go and found an outpost. They've hired you and one other dwarf at exorbitant prices (they'd have to be) to make sure they survive. (The five nobles only have social skills and refuse to do any work that is beneath them. Make sure they survive for -X- years, after which it's safe for them to return to the courts.)

Wealth

Pretty simple - the kingdom's coffers need lining, so hop to! Found a fort and start accumulating wealth as fast as possible. Attain as high a Fortress Value as possible and make more coins than you will ever need.

Artifact

There's rumors to the effect that a haunted locale was once home to a item of great importance. Groups have gone in before (and never returned, of course), but never one so dedicated as yours - you're staying until you have that artifact! (Found a fort in a haunted/terrifying location and survive until a dwarf successfully crafts an artifact via possession. Then get the hell out.)

Assassination

Your group of seven has been chosen to assault a goblin fortress - and you're not getting any backup. (Turn off immigration.) Slay the leader (the hardest-to-reach goblin) and escape within x years. (Caveat: No sapper-style undermining. Melee is where it's at.)

Biodome

All material, seeds, food, tools, and dwarves must be in the fortress within 1 year. Then, seal up and cave in the entrance. Any new immigrants, well, they might be in trouble. Survive for as long as possible! Bonus points: build an artificial lake.

Retirement Resort

All Peasant immigrants should be removed of every job, including hauling tasks, and given a great place to live. Make sure to include fun activities and plenty of parties.