Cave

From DwarfFortressWiki

A cave is a natural formation that occurs in mountainous or rocky areas. Some caves may contain hostile creatures or water, and vary in size from a few tiles to long, winding passageways. Caves can span many z-levels up and down.

Caves tend to be somewhat rare when placing a fortress, the best way to find them is to take quests, ask about the surroundings, and scout for them in adventure mode. This will place them on your map, and also on the embark map for fortress mode making it much easier to build on them.

Overworld
World generation - Regions - Biomes - Civilizations - Map legend - Sites - Armies
Aquifer - Brook - Cave - Chasm - Forest - Lake - Mountain - Ocean - Pit - River - Volcano - Waterfall