I googled and hit this old thread. These are old replies, pre-DF2012 no doubt. If you also googled and landed here, here's some more recent advice:
Nowadays in Dwarf Fortress, cats can be told to stay in an area via the Zone -> Pen/Pasture function. In the olden days, we would tether them with a rope or chain, in which they had 3 tiles in any direction to kill vermin -- a common trick to use with dogs, since they would chase off thieves and their tether could be remotely destroyed to set them loose upon the enemy, but this function was often overlooked with cats. Cats don't really need to hunt, but they prefer dragging their kills to the nearest meeting area, which causes miasma which causes dwarves to be unhappy which causes them to punch each other in the face which causes one of the cat-induced ways a fortress can fail.
The other way that cats, probably more commonly, kill a fortress, is that they make lots and lots of other cats, killing your framerate. The AI seems to make cats do all sorts of things, some amusing to watch like jumping on tables at dinner time, jumping on a bed with a dwarf there, and they beat any dwarf at vermin hunting without the nasty side-effects from seeing a specific hated vermin before killing it. But cats reproduce altogether too fast; they're no fun if there are hundreds of them and your framerate is suffering as a result.
Cats live to be about 10 years old -- keep this in mind. This is long enough for you to deal with vermin in a more dwarven fashion, such as moving away from boring old wooden barrels and using instead high-capacity, vermin-proof stone jars (make sure to glaze them, or use porceline, metal, etc for liquids) for food storage as someone mentioned. If you don't mind a sloppy mess, you might consider installing a perimeter of 3/7 of water around your stores, which your dwarves can handle but vermin may have a difficult time with. Who needs cats then?
In conclusion, do bring cats at embark. We all love our wagon-guarding kitties, but consider only bringing males, or otherwise micromanaging their rather rapid reproduction rates before you have a "catplosion," and consider permanently pasturing them away from the meeting areas, designated nearby your wagon or your entrance, or simply tie them up with a rope where they are needed. They won't mind.
Have some kitty fun, and remember, losing is fun (if done properly) :D>