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Or you can buy clothing so you don't make it. Or food, alcohol.... They are also nice for those pesky artifact ingredient (like silk).
The stuff they bring you can't make, outisde the obvious one that are missing in your embark (some metals, clay, sand...) are books, and occasionally they may bring divine metals, if that hasn't changed from classic.
I also buy writing supply (annoying to craft and cheap) and instruments (fairly useless but they are a pain to make and I like to have some).
Bags are also cheap and it annoys me to make them :D
beyond that, it really depends; the current version of dwarf fortress skews things for new players with the default mineral distribution being so high (the default used to be much lower). i've before had to trade for basic metals.
As a potential example, you may embark on a map without flux stone, so you can buy steel. Or you need weapons right now.
While I was writing, I found one universal advice. Look for books to add to your library.
Also, you can buy tamed animals from traders.
As Erei said, it's also a lot more convenient to buy some stuff from caravans. It can be such a pain to micromanage everything needed to produce certain things yourself, e.g. instruments or instrument parts, paper, different types of glass, etc., so it's a blessing to be able to trade some gems for it instead, at least to partially satisfy those needs.
Animals can be a big one as well. Seeds.
On a bigger scale, you will always benefit from having a bigger product mix available to your dwarves. Every dwarf has different preferences, so if you have a wide range of different types of goods available, then more will have what they want. This is why I will often clean traders out if they're selling stuff made with materials I don't have in my base. The more different kinds of cheese, milks, meats, fish, clothing, and raw materials available, the happier everyone will be.
Some things are only available for trade (foreign-style equipment, famous codexes), but AFAIK there's nothing like Rimworld's late-game tech to trade for.
Probably depends on various things... In my current playthrough the elves have been bringing me things like a few giant dingos and giant jaguars.
-Wood, if on a wood-scarce biome (and my favorite biome is rocky wasteland)
-Metal ores that I need
-Whatever helps me making a solid weapon/armor industry if my biome doesn't have the metals for it (flux stone, iron, coal, iron ore, stuff that I can melt for steel if I have money to throw)
-Pickaxes (better to embark with hematite and extra wood though)
-Cages and/or barrels (if necessary)
-Food or/and alcohol (if necessary)
-Books and bookmaking materials, when my fort is set up, occasionally instruments for the tavern
-Cool exotic animals
-Leather and cloth
Caravans usually become less necessary for a mature fort but sometimes you need the caravan, if only for getting rid of all the trash my fortress produces (damaged clothing, goblinite) or to help with your biome's shortcomings. Like on the average glacier embark you will be happy with every caravan you get, at least at the beginning.
I tend to like buying rare metals like aluminum and platinum and rare gems from them, too, since these are limited resources.
Leather and dyes are sometimes nice to buy, and usually I will buy them out of meat and fish, especially in high savagery biomes.