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An ocean is an immense volume of saltwater. There are generally two or three oceans on every generated map. They come in three varieties, based on temperature, which affects the sea life found there: Arctic, Temperate and Tropical. It is not possible to found a fort solely in an oceanic biome; some land is needed.
Oceans tend to have a heavy effect on the surrounding geography of the generated world. Volcanoes can often be found around the perimeter of the ocean, and this tends to be easiest place to find them. Marshes and swamps also tend to form around oceanic coastlines, especially near rivers. The land surrounding oceans also tends to have a high water table, resulting in aquifers close to the surface.
Ocean areas will always contain salt water, even in pools that are quite some distance away. They are also rather notorious for containing aquifers of multiple layers. The fishing will usually be good near an ocean, and there won't be as many carp or similar fish to deal with.
Ocean biomes contain only salt water, which will require Desalinization before dwarves will drink it. If this is not done, it will be impossible to give your dwarves water when they are injured, quite possibly leading to their death. Your military will have a high turn over rate while sparring.
Life next to an ocean
Despite the warnings that the fortress selection screen displays, oceanside locations can be quite habitable - provided they are chosen well.
Oceans have a multitude of benefits: they're generally sparsely populated, and usually have an abundance of arable soil. Ocean fish are usually abundant and a good source of food, though some sea creatures can be dangerous, particularly in evil areas. Some oceans have sand beaches, a good resource for glassmaking. Oceans also provide a few unique geographic features, including stacks of driftwood and ocean waves - which crash against the beach to produce mist (Although this mist does not seem to generate happy thoughts). The erosion caused by waves also tends to leave numerous exposed mineral veins and gem deposits at sea level, and some minerals like platinum form deposits in alluvial areas.
Despite these benefits, oceanic shorelines provide some challenges, and can be difficult starting areas. It is important to check for some variation in topography when choosing an ocean location, as the ground is almost always water-laden one tile down from sea-level. Even if slightly hilly terrain is found, there is no guarantee that stone will still be accessible. Forests tend to make good biome additions, as they tend to have more varied terrain than marshes and swamps. When picking a forest it is important that the treeline extends at least two tiles away from the shoreline on the Local Map, otherwise you may potentially only have stacks of useless driftwood and no actual trees and shrubs.
Draining the ocean
Not a good idea. It is possible to reduce the water level near the shore to fordable depths by draining it into an aquifer layer or using an array of pumps. However, doing this will cause even a high-end computer to grind to a halt as the movement of each tile of water is calculated, and the water at the edge will refill faster than it can be drained. This can also easily turn into a fatal flood scenario, and the sheer quantity of rushing water tends to drag dwarves into the drain holes.
It is however satisfying to watch the merperson corpses pile up in the shallow water.
If you access the ocean from a lower level (such as by channeling away two z-levels at once, or by building a ramp up into it, from a site with drainage to 8 squares of aquifer), the entire region that is connected at this level will immediately drain away the water above it. (If a ridge blocks the lower level of ocean, the water on the next layer up will only drain out from the far side once a channel is dug from the partially filled top level to connect the two regions) In one test the top level of ocean did not seem to be replenished once drained, but the edge of the second layer down was permanently held at 1/7 while cascading to the next level down.
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