Also which version are you playing? That makes a huge difference as to the strategy you should employ. If it's DF2012 then the undead are pretty easy pickings so long as you aren't in a reanimating biome. Crossbows will utterly destroy them as can moderately well equipped and trained melee dwarves. You should not try to use magma or fire to destroy them. Once you have a decent military, if the weather isn't particularly dangerous and you aren't in a terrifying biome, you can actually get away with not sealing off the outside world permanently. You just have to be careful about it.
If you are playing DF2014, crossbows will be utterly useless against the undead and all but excellently equipped legendary melee dwarves should avoid direct combat with them. Magma and fire are quite effective. You will most likely have to turtle even if the weather wouldn't otherwise warrant it due to just how dangerous standard zombies can be. If you do allow some surface activity make sure you limit it and keep a very close eye on things while you do it. Undead giant animals should be given the utmost respect. Even a single giant zombie should be considered a potentially fort ending threat if not dealt with properly. Bladed weapons work much better against zombies unless you are in a reanimating biome in which case you may wish to consider sticking to good blunt weapons.
I'm playing 2012 with Modest Mod installed, which rebalances ranged weapons but they're still pretty powerful. And apparently my choice of hammers was the wrong one! No big though, if I get any migrant hunters I'll have equipped and trained marksdwarves, because the meat industry seems to be inviable here.
You may want to destroy all corpses and only use slabs, but that might be overkill. And I like the idea with bunnies. If the weather is bad enough though, I would just hide. "That way leads to the surface. We don't go to the surface"
It's looking like graves are not a luxury in which Sugarlamb can afford to indulge. Nothin wrong with slabs though, if they're high-quality they'll make my idlers happy.
I like the idea with bunnies too. Those cavies that dwarves seem so fond of will make good bait as well.
Once you get a feel for your "flavor of evil", then adjust your embark accordingly. Me, I recommend:
- raise embark points to your " doable, not easy" level
- save immediately after embark (or get tired or regenning worlds for a good flavor/biome)
- seasonal autosaves and backups, unless you want to lose everything to a buggy zombie head / indestructible zombie hair / unable to cancel attack orders / other bugs.
Then you'll never want a tranquil embark again 
Seasonal autosaves are a Very Good Idea, I only have it set to yearly now.
It appears my evil is reanimation- and dizzying-rain-flavored. Could be worse. It's the middle of the second month now and no clouds have appeared, but we'll see.
Here's how the month of Granite went.
Uh oh! Looks like there won't be time to make shields, just two doors. The birdies chased my expedition leader around a little before I managed to get everyone underground, but luckily didn't catch him.
Before locking down I managed to grab six logs (six cages for six baddies), a barrel of plump helmets, and a few barrels of booze. Off to the right there, that's the cage stockpile and a grated-over watering hole (not sure if those zombie birds can swim), while furniture production goes on below.
Hey check it out, magma-safe stone. Good thing I spent all those points on rutile huh? Derp.
By the time I had six cage traps installed, it seems the giant sparrows had flown off the map. Oh well, now I have a nice trap hall in front of my stockpiles.
The zombie porcupine seems content to putter around by the caldera, so I plopped down some stockpiles and opened the doors to retrieve all my cool stuff from the wagon.
During which, it rained acrid sludge upon the unfortunate heads of my citizens. It seems that it causes dizziness but no wounds, so I'll have to be wary of my dwarves stumbling into traps. Also shown here, some workshops and a dwarven atom smasher, though I don't have any refuse yet other than vermin remains.
So if I survive getting my supplies inside, next step is to set up some farms and then butcher the pack animals, immediately processing the skin and wool as per BlackFlyme's advice. Should probably have my unarmored-but-gutsy hammerdwarves standing by for the duration, too.
One month in and I'm already altering my strategy and facing new challenges!
Then you'll never want a tranquil embark again
This!
Thanks again for the tips everyone!
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Topic: My first evil embark - some advice? (Read 3117 times)