It's basically like any other roguelike. You go around killing monsters and such to become more powerful, do quests to kill Megabeasts and Semimegabeasts, get bored and raise towns to the ground, run around murdering elves by ripping our their eyes (always a pleasure).
Of course with Dwarf Fortresses combat engine you can get some preeeety interesting fights. Since it tracks pain on pretty much every part of every combatents body and since you can be blinded and have your arms ripped off and such, it can lead to some pretty awesome adventures. Getting your arm ripped off by a Titan, killing it then wandering around as a one-armed warrior is always fun.
Also with the combat engine, you can be a god who can kill dragons without blinking, but one lucky arrow can still pierce your heart and bring you down.
Plus you can visit your old fortresses, even combat the new occupants of the place who claimed it when your dwaves fled/died. Or, as was my case, get murdered by the one surviving beserk dwarven child.