Your best bet is pitting. Build your arena, then at least 2 z-levels up build your "pit." Dorfs are stupid, instead of hauling the cage to the pit, they'll actually release the zombie and try to lead it like a cow to the butchers. This... never ends well. However, if the cage is built adjacent to the pit, you can easily dump them from there. Otherwise, you'd have to set up lever-activated cages to release prisoners. Basically build an animal stockpile but disable empty cages. Now, dig out channels (covered with forbidden hatches) so that every square of the stockpile is at least diagonally adjacent to the pit. So long as you don't have any other caged animal stockpiles everything gets diverted here. Alternativelly, you can intentionally build cages next to the channels if you catch several usable beasts (like you trapped a cavern entrance and want to butcher/tame/breed crocs, jabberers, etc). Then make the entire area a pit. You can then freely (and safely) pit the animals/prisoners into the arena below.
As far as the arena itself... I usually just dig a pit near the dinning hall. I smooth all z-levels of stone for my pit (to thoroughly prevent climbing), although if I'm feeling fancy I'll engrave the upper layers as I dig. There is only one entrace, a bridge. Behind this entrance is a barracks for the dorfs I want to live train. Behind this barracks is another bridge. I toss the victims in and then lower the bridge for the soliders to poor out. You just really want to avoid pitting creatures directly on top of your soldiers, as falling ANYTHING can be deadly (them worn out socks can be deadly!) There really is no need for that many bridges unless you just feel a burning need to be that fancy. War dogs also tend to be poor attackers- they are mostly good for sniffing out ambushers/thiefs and being fodder. If you want a way to kill off anything that gets out of hand, you can always use bridges... however this means sacrificing any wounded dorfs in the arena. Personally, I'd just have a second squad on standby if things get harry.
Personally, I love setting up the tops of the arenas as meeting areas. I'll place statues and engravings along the walls, and windows to form the inner "wall" to both keep over-excited Urists from jumping into the fun and dumbass kids from just falling down. Windows don't block sight either. The main reason for this is that witnessing fights trains both observer and discipline. Its one of the few things you can do to train useless leeches... er I mean children. Gaining observer and discipline on your whole fort also helps keep them from freaking out over bodies/intruders, and helps them spot thieves and ambushers. Lastly, observer is very important in combat itself, and can help a civilian fight off wild animals or such. It mostly helps when a dorf is surrounded though, which your civy likely won't survive anyways... but it does help!