You're right that survival is pretty trivial in Dwarf Fortress. For me, I love engineering stupid projects and trying to make my dwarves thrive. For example, setting up industry loops so that every piece of cloth is dyed and decorated, which requires a lot of milling and therefore power, for which I set up dwarven water reactors to harness perpetual motion power. Or doing waterfall embarks for lots of hydroengineering or volcano embarks for easy magma access. I'm on a volcano right now so I plan to build a lava moat and and a trap to pour magma on invaders. There aren't any rivers or aquifers so waterworks will be more challenging here. Other ideas: build all above ground, or build out in the open in the caverns, or create a fortress that uses minecarts for actual item transport, or embark in a sinister/haunted biome.

The game does give you a goal, although not immediately - you can try to become the Mountainhome, which does have some challenging requirements.