Been playing this one for over a year now, just thought I'd share:
http://www.bay12games.com/dwarves/Not so much a Rogue-like up front though. You generate a fantasy world, then pick a place in it to send your party of Dwarves to found a new home. During the process you can get assaulted by kobolds, goblins, monsters, dragons, demons, other evil beings, etc. Once you fail you can permanently save the fortress into the world then find it when you play adventure mode (which is more akin to Rogue).
