In general I never see significant physical attribute changes except in soldiers. Veteran soldiers usually have extremely good physical stats after a few years of sparring and fighting. Pump operating on the side never hurts, but doesn't seem to contribute all that much either.
Mental attributes don't seem to vary much at all. The exception to this is my broker and manager. He or she usually develops very good mental stats over a few years. Too bad they don't really mean all that much.
Multiple items being trained simultaneously is the hypothesis posted on the df wiki as to why soldiers end up with better physical stats, and I can't help but agree. It might be worth it to set up a danger room and have two different dwarfs locked in. One with a full set of armor, weapons, and a shield, and the other with nothing (I don't think clothing contributes to armor skill gain, but I wouldn't want to risk it), that should test the hypothesis and prove whether or not it is true.
However, if you want to keep your little guys happy you'll have them doing some non-military type stuff early on in their careers of giant/dragon/kobold slaying. Which raises the question, "What's the best non-military task for training military attributes?" Probably something that trains soul attributes that are actually relevant to military types (see:
http://dwarffortresswiki.org/index.php/File:DFmental.PNG), but it might help to identify what trains these attributes fastest.
For instance, mining only gets a +1 bonus in all relevant skills once it hits the mark, and it only seems to do so every 20+5N jobs (where N is the number of attribute bonuses already racked up, should level off eventually). On the other hand, I've heard that pump operator gets a +1 in all relevant stats except in Endurance, which goes up by +6. Looking at it that way, pump operator is probably best for training endurance. Once I get a chance I'll be testing for which skills grant the biggest boost for military related soul attributes.