I prefer not to use cage traps... Granted, it's fun at first, and nothing beats watching a troll spray blood and gore when it splats in the middle of a forest after dropping 20 z's... But my favorite methods have been:
1. A large courtyard with bridges that close all at once, trapping the invaders, with a magma-filled aquaduct dumping loads of magma in.
2. A long passageway between two high walls, with 2-z pits dug perpendicularly at intervals. The invaders advance, avoiding the pits, and you release a reservoir filled with water, washing them backwards down the corridor towards the end - and into the pits. Which you can then drain at will via floodgates.
3. A three-bridge pit system. The first retractable bridge is at ground level. The second retractable bridge is one z-level below that. The last bridge is fifty z-levels below that. Retracting the first only allows invaders to fall onto the second bridge, with their only method of escape a long hallway filled with cage traps. This is for invaders I want to keep. Retracting both 1 and 2 allows them to fall to their deaths 50 z's down. This is for invaders I want to splat. Retracting all three gives a straight plummet to lavaland - and this is for those invaders I want to get rid of permanently. Or mock. Imagine falling down a pit with magma swirling at the bottom. Cliche, maybe, but still awesome.
4. A winding maze surrounded by archer towers. For target practice and pincushions.
5. Drop them into a shallow pit with the only escape being through the caverns - starting with the deepest (I loved this fort). However, there is also a forgotten beast lurking down there - which always, always promptly dispatches them.
6. (I only had one fort with this one) If you embark next to a deep, rushing river, simply dropping enemies into it can be fun. Especially if you route the water through the caverns.
and... those are my favorites. Cave-in traps are fun, but a bit too quick for my tastes, honestly, if I have a well-established fort.