I cannot disagree more with the general sentiment of this thread.
I cheat. I cheated my ass off. I started with 7 dwarves who were Proficient in damn-near everything (one of them died, heh, in glorious battle, unarmed and unarmored to a freakish critical crossbow hit). I modded my Sandy Loam to give me Sand, and I modded Dwarves' speed to 1, simply so I didn't have to wait FOREVER.
I started with 3,500 units of steel, tower-cap and rough bauxite, as well as a small ton of various cut gems and large gems. Pretty much everything that you could possibly want for a mood, except pig-tail cloth. (And, believe it or not, my lack of such cloth has cost me THREE dwarves already! >_<)
I am having fun. My game is not without challenge, though they're all likely to be of the "whoops, need to figure out what went wrong and how to fix it" type rather than the "DO IT AGAIN, STUPID!" that you get if you fuck up and have to Abandon. I use Dwarf Foreman to put kids to work (primarily for the funny, to have a Legendary Siege Engineer/Siege Operator before he's 10.) Who is to tell me I am having fun wrong? My fun comes in engineering complicated and hideous death-traps - I've got a "Long Corridor of Ballastaic death, and I'm engineering an overhead lava sprinkler system.
I also derive enjoyment simply from giving my dwarves the most awesome living quarters I can furnish them with. Interoir decorating FTW. My Mayor's bedroom has an adjoining bath and privy, with green glass furniture, and an epic Artifact Bucket well.