My best D'oh came after I thought I had the perfect map. Obsidian, sand, forests, cliffs, a volcano - all good. I build my fort entrance and walls around a perfectly shaped 'V' in the cliff wall, and was really quite pleased.
Then a couple years later I noticed smoke wafting over the cliff face. I had built my fort right into the downspout of a natural lava flow channel. I tried to get my miners and masons up there to make a last-ditch wall to redirect the flow, but a band of imps was happily blasting the hell out of them when they got close. I swear the graphics included a middle finger in there too.
Next best D'oh came from a fort where I was sure I had awesome defenses. I had a moat, bridge, walls, fortifications, trap fields, champions - the works. When I finally got sieged I was all worked up over anticipating the carnage I would inflict.
Except... I forgot about the whole z-level thing. You see, the fort was built into the side of a hill, and a squad of goblin crossbowmen set up camp on the hillside and started raining death and destruction on my civilians. This was before the 'forbid death items' was implemented. A couple of my champions were the first to go berzerk after watching their entire families getting mowed down. There was carnage, and screaming, and terror, and body parts, and despair - just on the wrong side.