Why?
1. Dwarves have domesticated a variety of underground plants with purposes similar to aboveground domestic plants.
2. There are underground animals.
3. Therefore, there should be underground animals that dwarves regularly domesticate.
Ideas:
Let's start by breaking down domestic animals into groups based on function.
MEAT: Easy. Almost any subterranean herbivore. Cavern cattle sounds fun.
EGGS: Some sort of lizard. Ideally a few. I have an idea of a peafowl-equivalent; the males would be like those frilled Australian (I think) lizards, but green and blue or orange and pink or something, and a few feet long.
MOUNTS: You know, like horses. Probably giant moles or rutherers or something, but giant cave swallows might be cool. Or cave deer, deer that have grown large and fat off of underground fungi.
MILK:Purring maggots, most underground mammals (or at least the grazers-like most above-ground ones, see?), and maybe some GCS variant. The idea of milking a giant spider for edible venom seems dwarfy. Also, the abovementioned cavern cattle.
DEFENSE: Crundles or something? Maybe one of the giant lizards--I can imagine the look on a goblin's face when he sees several orange-and-pink frilled lizards charging at him.
GIANT WARBEASTS: Dralthas, rutherers, jabberers, maybe voracious cavern crawlers, cave crocodiles probably. Or giant GCSs. Maybe cave wolves, if you want to go crazy with the "normal animal wandered underground a while ago" idea.
VERMIN CONTROL: Some kind of mini-GCS, or maybe crundles.
"HONEY": A hive-living spider, or maybe just cave bees.
Thoughts?
EDIT1: Added cavern cattle, giant GCSs, cave wolves, and defense giant lizards to the list. Now everything has at least one non-vanilla idea..