Anyone have any tips on where to go if you've mastered the basic "green fields" embark point, and want something more challenging, but not so challenging that the dead come back to life?
Start tweaking the advanced worldgen parameters. Read a guide or two on how to do it first or see if there's a specific guide for the kind of world you want. It takes a fair amount of time and care because a lot of settings have the possibility to make it so you can't generate a viable world.
Try embarking on challenging terrain. Some examples are near the sea with full or partial aquifers. Aquifers can actually be helpful and not just a nuisance since they're an underground source of water. Other tricky embarks are with only salt water. Although you can use screw pumps to purify water by pumping from the saltwater source into a cistern, if salt water ever touches it it's permanently ruined.
Other tricky ones are extremely hot deserts, the arctic, areas with high savagery. The worst of these are evil and called "Terrifying." These often have thralling rains or other terrible rains, like raining elf blood. You probably want to avoid these, but the good and neutral variants (Joyous/Untamed Wilds) have a profusion of giant variants of animals that are harmless or merely annoying in normal surroundings but deadly in giant forms.
If you want to play around with the Terrifying biomes, I'd suggest if you're doing a 2x2 or 3x3 embark, pick one where only one of the squares is the ridiculously evil kind. That way you can get a taste of what they're like without ending up in a 7 dwarf zombie apocalypse 10 minutes in.
For really bad terrain you want to get underground as soon as possible.
Since this is a little tricky I'll give a quick guide. Deconstruct the wagon and dig down at least 1 z-layer adjacent to the 3x3 pile of crap that will erupt out of it (including the wagon logs). Pause. Use the standing orders menu to set "Workers gather outside refuse." Create a Dump zone on the hole you just dug and the adjacent part of your stuff heap. Designate everything in the heap for dumping. Make sure nobody's on the square below. Now unpause and dump everything.
Once that's done, get rid of the dump zone and turn off "Workers gather outside refuse" because you do not want them going outside for no good reason. Replace the designation on the single square as a stockpile (so the food in it doesn't rot). Now cap the hole, dig into the area with the stockpile (this one square containing everything stockpile is sometimes called a "quantum stockpile"), and start expanding it out, and build a wall closing off the outside entry.
Now you can do your further expansion in peace, safely underground. I'd start with a dorm, a few workshops, and dig out floorspace for stockpiles to separate your junk into different categories instead of all just in one square.
Also the "make sure nobody's on the square below" thing is kind of important. I once dropped an anvil on the head of the expedition leader and he exploded into gibs, which then came back to life and killed the rest of the expedition.
Also if you use worldgen to tweak things into being really dangerous, consider embarking on a volcano. They're huge fun and while you're going to get attacked a lot, having magma forges early means you can build up your military to cope.
Warning: sometimes if you embark on a volcano, you're instantly attacked by magma crabs and they can generally wreck your starting party.
My usual preferred worldgens involve LOTS of volcanoes, minerals everywhere, lots of megabeasts and any other nasty thing I can throw in, lots of mountains and cliffs, lots of savagery, and I also like to set the percentage of megabeasts/powers that need to die to be right between the Age of Myth and Age of Legends, so I can trigger the change of the Age sometimes personally by killing the right megabeast. (That's right before 1/3 of the megabeasts/powers that ever existed die so slightly above 2/3 are still there.)
Try embarking in the Arctic.
Arctic volcano embarks are fun.
