I never really had much success with the military, so I don't get it when people say they get nobodies to legendaries in half a year. In my experience it takes at least two years of constant training to get to 10 skill and about 4+ years to get to legendary in the main weapon skill.
I'm pretty sure I've seen some training in the wrong skills by demonstrations, but that game was buggy, for example the wood stockpiles stopped filling up, even with idlers. Oh wait, maybe they just attended demonstrations for weapon skills they had, but while having different weapons equipped.
I've also seen Dodging and Armour User demonstrations to either dabbling or 0 experience Dwarves.
Armour is very important, but you might want not to over-burden novices with it. It will slow them down by a lot and it may be better to give them partial armour and more speed.
Pump Operating is decent at raising Endurance, but nothing else. On the plus side, when off-duty, the soldiers are red and don't complain about becoming pesants.
Nothing raises the attributes like actual combat training.
For rotating soldiers, I prefer to have multiple squads and have them inactive in different months.
As for Danger Rooms, I've noticed that they don't train attributes (or not much anyway), but:
a) You can DR some teachers, then have them train the rest of the military.
b) Nothing says a DR trained Dwarf can't be in an active, training squad and raise his attributes the normal way.
c) High skills and average attributes are still better than no skill and average attributes.
d) DRs are about the only way (other than lucking out on a migrant) to have high Dodge and Armour User.
I never got a civilian defence program to work. There was too much of everything required. Plus if it works, it causes civilians to fight instead of run.
Oh and multiple shields seem to stack.