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[TheKaspa]

The Wiki is a little reticent.
How can I set up a useful arena?

[TKGP]

Most of it is really up to your personal taste, given that there's no specific concept of an arena built into the game; but, there are a few things you should probably have.

• A room with hatches above the arena for dropping in nasty things. Make sure their cages are stored directly adjacent to one of the hatches so they can't escape en route.
• An airlock for safely introducing your own contestants.
• Some way to purge anything inside in case of emergency. Magma is always a good idea.
• Elaborate seating areas for the general populace. (Never mind that they all run screaming the instant they see a goblin; it's the thought that counts.)

[TheKaspa]

How can I drop a cage?
I cannot build over a retractive bridge...

[Iceflame]

How do you define useful in this case?

Just dig out a hole, order your troops in and drop the goblins down. Mass Pitting may help a lot here.
Of course, you have to catch the goblins first. Or you may buy some animals from caravans. But be warned. There are many animals, which are way stronger than a naked and unarmed, maybe even injured goblin. Way stronger.

For Security reasons, you may consider a safe lock off mechanic for your arena. In most cases, a simple moat and a raising drawbridge will do the job. If something goes completely wrong inside, you can at least seal it off.

In some cases, a drowning mechanism would be a good idea too. Just make sure you can pump enough water in, and you can pump it out afterwards. You may use some magma too, because some things wont drown in water.

And for those filthy magma-safe drowning-immune creatures, you may consider building a cavein-ond-demand - mechanism.

[TKGP]

How can I drop a cage?
I cannot build over a retractive bridge...

You don't want the cage to be built, just in a stockpile. In the room above your arena, channel some holes in the floor and build floor hatches over them. Designate an animal stockpile around the holes so that the full cages will be brought up there. Then create a pit/pond zone covering all the holes, and add the specific creatures you want to it. A dwarf will come up, pull the creature out of the cage, and drop it through one of the hatches. If you have the cage stored away from the holes, there's a chance that some things will escape in transit, so make sure anything you want to drop in is sitting right next to the hatch.
Alternately you can build the cage inside the arena, link it to a lever, and then pull the lever to open it, but that can get pretty time consuming for large amounts of enemies.

[Drazinononda]

Or you may buy some animals from caravans. But be warned. There are many animals, which are way stronger than a naked and unarmed, maybe even injured goblin.

Animals bought from caravans are members of your fort and can't be attacked in an arena even with kill orders.

I use the mass pitting system that TKGP suggested. Just like he said, make sure you have one big Animal stockpile and one big Pit/Pond zone, not multiples of each. Other than that the exact layout is fairly unimportant, as long as each stockpile tile is right next to a Pit tile so that all the dwarf has to do is fling the goblins or whatnot straight from the cage down the hole. If they have to travel at all, "Hostile" creatures will escape (though, IIRC, not "caged invaders," which would be ambushers and siege troops).

[sir_schwick]

How can I set up a useful arena?

* Create a nobles quarters.  These automatically come with magma drowning systems. 
* Add a blast door to the atrium of the nobles quarters. 
* Add "zoo" dangerous creatures and release lever inside the nobles quarters.
* Add "honor guard" of militia that are your intended participants to station inside atrium of nobles quarters.
* Assign annoying nobles to his new quarters.
* Have annoying noble release creature in zoo in attempt to pet.

This system has the benefit of eliminating the noble, training your troops, and giving your militia the satisfaction of watching said noble die to his/her own stupidity.

[AutomataKittay]

You could check out historical arenas like the Colosseum and other traditional arenas for ideas.

Then check the DF wiki for zone pitting, how to link cage to levers, how to link door/bridge/floodgate to lever. And most importantly, make sure it's not easy for hostiles to escape! ( That mean don't put glass windows on arena floor! )

[Bigheaded]

I like the idea of just building the cage traps down there, possibly behind locked doors, more effort required but it's "simpler" to imagine for new players and adds the fun of exploding cages with stuff inside.

I've yet to set it up, it's an intentional addition to my next fort though.

If you use cages, you need a lever*(edit to correct silly spelling) for each (or link up 1 lever to multiple cages? need to check that idea). see below comment for answer.
Then i can make a spectator row of my nobles watching the goblins versus animal fights, then chuck them in to face the winner for death glory.

[TKGP]

If you use cages, you need a level for each (or can you link up 1 lever to multiple cages? need to check that idea).

You can link them all to one, it just takes a very long time. Whereas setting up a simple pit is pretty easy and only needs to be done once. You could always drop them into a sealed chamber if you want, it's just getting them out of the cage that's the important part.