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When just starting out or working with limited amounts of dwarfite (steel), what is the most important combat equipment to forge first?
My thoughts are either mail shirts for most protection or weapons so that your troops can actually damage the enemy.
If you only have enough steel for one piece per dwarf, you're probably best off with helmets or breastplates. Shields are even more important for a dwarf's survival, but wooden shields are just as good as steel unless your dwarfs have a habit of swimming in lava (which, you know, happens). Once your dwarf has a shield, most kill shots are to the head or chest, so those are the first things to protect.
Most enemies don't really wear significant armor, so iron or even bronze axes are just fine while your steel supply is limited.
However, if the problem with steel is a lack of fuel, rather than a lack of iron, I would put what little fuel supply you have into building iron pump components. With this you can dig down to find magma, which is much more efficient for creating steel.
Finally, if your limitation is not steel or fuel but armoring expertise, shields are by far the most important armor item. However, wooden shields (which as above are just as good as steel, except against dragons/lava) are made with the carpentry labor, not armoring. So you can split up the labor that way, leaving the armorer to make the more specialized helmets and breastplates.
IMO the very first thing is going to be a good crossbow. I've sent many a dwarf to their death bearing full iron armor and an iron weapon. I've lost many a fort trying to defend with only 4-5 poorly trained dwarves.
On the flip side of things, if I go with iron crossbows (or even wood/bone if I can't find iron), then I'll have no problem. 5-10 dwarves patrolling my entrance with crossbows and plenty of bone bolts, no invasion is going to be a problem for me.
The answers given will be relative to your playing experience and style and, to some extent, the playing conditions.
I embarked once in an area devoid of any weapons-grade metal. So, my military tactics until the 3-5th year were based simply upon relying on traps.
You can have a completely naked military (although you shouldn't), cloistered inside your fortress, armed with nothing more than a crossbow (that can be made out of wood). Assuming they were trained to an extent, they would shoot from fortifications, not exposing themselves to immediate danger.
Assuming you like to reuse your enemies' body parts, then you should use weapons that successfully sever body parts; as such, war axes and short swords do the job nicely. Also, if you embarked in an evil weather biome, the only way to defeat thralls is to behead or dissect them using the before-mentioned weapons, partially nullifying the use for other weapons.
