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I've played numerous adventurers, and searched all the towns I've come across, and have yet to find either a merchant or a mayor/king. Are they only in particular towns? I know elves and dwarves don't have anything handy like that, but even the human towns only contain warriors and drunks.
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There are three types of buildings in adventure mode. There are the dwellings, which are long and skinny and resemble dormitories. There are shops, which are small and square and have merchants in them so long as it is not night. The tavern is where you will find the mayor - it is square or rectangular (not sure) and the largest building in town. Keep looking around and you'll find it. Every town has one.
Remember, you can move down the road left and right to find more buildings.
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All I'm finding are those long dormitories, and small square buildings with peasants inside. Do I need to generate another world?
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There should be merchants in the small square buildings. If you don't see any, wait around a bit. It may also be that you are mistaking the merchants for peasants - try talking and trading with them to make sure.
There is always one large building full of beds and tables and such, the tavern. Somewhere in there is the mayor (he's purple). Depending on the time of day he might not be there, so keep checking back.
If there really aren't any, then I'm at a loss. Unless someone else has any ideas, maybe you should try generating a new world, although I've never heard of anyone else having this problem before.
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If its nighttime, you won't be able to do much, leave the map and come back again, or use the Z sleep option.
Sometimes you might 'accidently' kill merchants by setting fires in random places (guilty), I suggest you don't do it.
The King lives in the capital. Go ask for where the capital is; then it'll be a large building with decorated walls, the king/queen will be a spearmaster, a swordsmaster or something similar, s/he may also come with you.
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There are actually stand-alone houses which are smaller then shops. I think OP has got a bug that another poster had before, and it could be fixed by reinstalling DF and regenerating the world.
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Well, I've generated another world and started a new fortress. As soon as that inevitably descends into chaos, I'll try to find merchants again.
Thanks for the suggestions, everyone.
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I've had buggy games where there were no merchants in the entire world. In these games my dwarf would also be missing all his starting equipment :(