I recently maxed out agility, endurance, willpower, kinaesthetic sense, spatial sense and am close to max out strength (it is superdwarven but not max yet). All thanks to swimming first and wrestling crabs on frozen beach second. The latter was especially successful and easy, and took just a (long) day. I can train still, but it doesn't increase my speed despite still increasing strength. Apparently strength alone decreases your speed by increasing muscle mass (my character is maximally fat, one million fat units, but also nearly maximally muscled out) and increases your speed by allowing to take more items without penalty. So after certain level you have zero net gain of speed.
To train with crabs set "C"ombat to Attack:Close combat, Dodge:Move Around and Charge is less important, but I have Stand ground. Hide all weapons but have a shield in your hand - without blocking and dodging you will be scratched in every possible place. Have armour too, I have only leather armour.
Approach a crab and wrestle it manually for some time, or bump into it and back away. The goal is to make it prone. When the crab is on the ground it is much less likely to be thrown - and throwing it means it can die easily. Once it has some legs broken, is tired and prone, you just bump into it with direction keys which is very fast comparing to other training methods (even swimming, where you can accidentally get out of water). It trains wrestling, dodging, fighter, armour, shield and plenty of attributes. Crab is good because it cannot suffocate and bleeding is also very rare. If you find a good crab you can
After such short training my dwarf is able to do what previously was done to him by more dangerous night trolls: can disarm an opponent and use his weapon to beat him, can run circles around opponent and can bite off/rip away opponent's appendages (wings, arms) to scary him or just choke and strangle him to make less mess (if creature has no lung damage it usually loses consciousness before suffocating, so you can abuse it while it is alive, or just leave it for later).
Another training I did before that was firing bolt from a hill into a wall of mead hall, then collecting the bolts to reuse, and knapping stones and throwing them. Throwing items before combat (even bolts) is a good way to start it, so better train before.
I'm new to adventuring, so I don't know how to train weapon skills fast, but I heard you can use bogeymen to do that. I haven't seen a bogeyman yet, though.