I lost my only pick, is it time for fun?

If you don't want to wait for a caravan to sell you a pick, you can (if you have wood) make wood screw-pumps in your carpenter shop (make wood corkscrews, wood blocks, and wooden pipes and assemble them using a mechanic). It may be possible to pump the water out of the existing aquifer cave-in long enough to recover the pick.

One anvil, one fire-proof stone or block, and enough metal objects or bars (copper, silver, iron, etc.) are the basic precursors to all dwarven tech. Given these you can (eventually) make picks and axes, which are the basic tools to acquire more resources from your embark point. Even if a caravan doesn't have a pick, you can make one if they will sell you an anvil and some metal items you can melt down to make a pick.

In fact, some hard core players embark with only an anvil, a fireproof stone, and a bar of copper, and tech up using those. A slightly easier embark is if they bring one log as well (for making a wooden axe). This is why an anvil is an almost required embark item. Without an anvil, you can't make an anvil, but with an anvil and metal you can eventually make anything.