http://dwarffortresswiki.org/index.php/DF2012:Animal_trainer#Trainable_war.2Fhunting_animalsThis list gives the types of creatures that can be trained as war animals without modding. Sorting them by size is recommended to get the best idea of which is most effective. Dogs are fairly low on the list, which isn't surprising given their small relative size. Bears are around the center, making them mid-range in terms of effectiveness. The main attraction for bears is the common availability from elven traders, the lack of grazer tags and the quick 1 year maturation. Plus, bear cavalry.
Further down we have the felines, notably the tiger. They are unfortunately rarer than the grizzly bear unless your elves happen to live in a tropical forest, but are roughly 10% larger than grizzlies, meaning they have a slight advantage. Their acquisition is the most difficult part, but if you are lucky enough to score a breeding pair they are the pinnacle of feline fortress protection. The tiger cavalry is a rare but imposing force.
The giant tiger is of course a bigger, better version of the aforementioned tiger, so of the small chance you land yourself with a pair of these, your worries are over. This would of course be extremely rare, as their biomes are difficult to guarantee traders will bring goods from.
Finally, the Jabberer is the ultimate war animal. Bigger than anything outside of megabeast proportions and a hundered times larger than a grizzly, this egg-laying cavern dweller is available on every map. With a little preparation in your second and third caverns, you should be ready to try your hand at capturing this beast and making it part of your fortress defense plans. Why defend your fortress with some tree-hugging merchant pet when you can unleash a true cavern-dwelling underground horror upon your enemies? Are you an elf or a dwarf?