Yes, while many amongst ye have been toying with these for months, even years, I have built my first today.
As my fort crashed over the 100 dwarf population count, I was running out of things to build. I had 2 very strategically placed archer walkways across the only path into my base which is moated, walled, and weapon trapped at intervals, I have a three story tower above the only entrance into my subterranean section of my fort, which also has my gate lever, I have a large army, near limitless food supplies, lots of crafts for selling if need be, a wall that encompasses half of the map with only a single route inside (and therefore keeping everything I don't want near my people away).
So I am getting bored. As I have heard lovely things about making goblin arenas and such, and my archers need some live targets, I decide to build one of my own. I make an "island" which is surrounded by a channel, and the only way in is through a hole in the cieling or a trapped door which lets my people scavenge armor and weapons from the deceased. Surrounding this island, across the channel, are fortifications which my marksdwarves can shoot through.
But, how can I get something to shoot at? Cage traps, of course! And, having been buying cages of dogs, I had about 30 lying around. I build a 4x3 cage trap cluster in the front of the road that leads to my base: anything that wants in must pass by these traps.
Within a season of building these traps, I have caught over a dozen goblins: all of which end up being slaughtered by my marksdwarves.
So, I end up with a limitless means of entertainment, and a great way to train defenders.
It's a shame I didn't try the cage trap before, it is quite fun.