Figured I'd talk about the things I've seen from a Danger Room (TM).
I'm currently using a 1x2 room with an armor stand and a 10-training spear trap attached to a lever just outside.
Anyways, I'll discuss what I've seen from the training aspect.
First off, with or without a shield, armor use seems to be the slowest skill to train, while fighter skill is the fastest to train.
Shield use trains faster than a Weapon skill when wielding a shield (fighting skill covers the use of a shield bash it seems, thus fighting skill also goes up at roughly the same rate if your using a shield). Weapon skill goes up relatively fast without a shield, but nowhere near as fast as fighting (its that fast).
Dodging is pretty slow to train, but slightly faster than armor use. It should be noted that unskilled weapon users wielding only a weapon train dodging and armor use faster than someone who is skilled at wielding a only a weapon. Shield use seems to slow down dodging and armor use due to the amount of times you block the attacks with a shield.
Striking, Kicking, and Wrestling never increase from a Danger Room (TM). Same with military-social skills (observation, leadership, etc..)
Attributes-wise, Kinstetic (sp) sense and spatial sense go up at a good rate, while agility trumps strength (they both increase, just agility is more noticable than strength). (Note these were using dwarfs who had at a minimum no negative attributes)
If a dwarf has a green attribute, that attribute will train slightly faster than someone with an average rating.
Injuries aside, I've only seen a bruised foot in over 8+ years (spanning two forts) of employing a Danger Room (TM), aside from the stupidity of legendary female soldiers bringing their babies into one :/