- Climbing walls: Very hard to do, since dorfs don't climb unless there is no other path, and usually just sit and mope (and go to sleep) rather than climb even if there is a simple climb available. The best way to get them to climb is to intentionally block their path to keep them in place and out of danger...
- Swimming: Similar problems, but can probably be achieved using pressure plates that release water, or drawbridges that drop the trainees into water (risk of injury from the fall and drowning due to stunning, though). I believe flowing pathable water pushing dorfs into deeper water has been used for swimming training. My guess is that mine cart riding swimming training is more effective, though (but horrible from a role playing perspective, of course).
- Danger room: Be aware that dorfs drop their gear for replacement with shinier stuff, claiming the new stuff immediately without necessarily getting it pronto. Thus, if a danger room is used, the dorfs should already have top quality gear throughout or no new armor should be produced in any way (including post siege battlefield recovery, but you'll probably have better gear than that anyway), or serious injuries can occur. There's always a risk for face wounds.
I have no idea what blocked paths will do to patrols, though, since I've never used patrols, but I wouldn't be surprised if path blocking would lead to service abandonment in the same way militia ineptitude in finding existing paths to enemies they're ordered to attack causes them to desert and go back to (individual) training.