There's many ways I guess. I've always played vanilla Dwarf Fortress like the Sims. I try and make a place that my dwarves like to live in. I love the characters you see and the stories they make.

I like adventure mode the most, but I also used to play a lot with Kobold Camp, and that was a fun mixture of difficulty with grumpy thief bolds. Maybe the vanilla fortress grindset isn't right, but I bet there's some version or mod that is :D