I always start up with a little hole in the ground/at the top of a nearby surface cave network with, a chest, a furnace, a stack each of ladders and torches and stone tools - I just never seem to be inclined to spend time building at the start. Then it's plumb the cave depths or begin a nice wide vertical shaft to the bedrock, count back up to level 16 and spam with branch mines aiming to cross those huge cave networks laden with goodies
Latest time round I'm using the Yogsworld mod, which makes it hella easy to cut down trees (using an axe on the bottom block fells the whole thing), which makes mass producing ladders much more friendly ^_^
With some resources in the bank then I start to get a bit more creative, expressing my central shaft on the surface in some sort of house or citadel, then roaming the country side for interesting caves and/or geological formations for destinations for railroads and/or future construction mega projects

On my first world I had some shear cliffs where the generation algorithm broke, a good old lava-covered doom tower connected by underwater rails, a sea-side fort where a titanic cave network I climbed up through surfaced, and a titanic cathedral that I never finished because somewhere a block got corrupted and keeps crashing the game :'( Since then I've not played as much as the updates kept breaking mods I was experimenting with and kinda hampering my ability to progress with maps. Ah well, maybe the next patch will introduce some objectives and give a bit more form to the play?