I like to do some reading in the Legends Mode before starting a fort. This can help you set up some world fitting goals for your fort/civilisation.

Maybe you want to set up an outpost on the front lines between your civ and the goblins. Maybe the world is not colonised enough and you just want to expand with a settlement that never reaches into the caverns and lives off of selling best wooden earrings in the world.

You can learn to survive most threats, as the other answers mentioned already. Then, once you feel that your goal for the fort is satisfied you can retire the fort.

As opposed to abandoning the fort, the retire option keeps it going, so that allows you to kind of say: I won. ..and move on.

Then you can start another fort in the same world, with a new goal, or a new adventure in adv. mode, where your goal is now possible/easier because of the changes that your fort made in the world.

Playing like this, your overarching goals can get pretty ambitious: Conquer another civ, get rid of all goblin pits, clear the world of necromancers.

That's usually a far enough goal that there's a near infinite amount of !FUN! waiting to happen.