My fortress has a massive zoo where I keep, display, train and domesticate the numerous species they've collected. Many of the animal rooms have multiple zlevels so the bigger animals can have fungal trees in their spaces in addition to the usual fungal/moss "grass" that can grow under ground. The aviaries also have multiple zlevels allowing the giant cave swallows and giant ravens to nest higher up. There are also some multi-Z "aquariums" for some of the semi-aquatic species captured like the cave crocodiles and giant cave crocs, giant cave olms and toads, and pond grabbers. The higher levels allow for dorf access while the lower levels have glass walls to allow for viewing into the aquarium's fully submerged levels. Fun note: both of the crocodile species have been fully domesticated with a breeding program allowing them to be the backbone of my meat and leather industries. Their tanks also directly connect to the fortress's main moat to give invading goblins something fun to play with. The moat is also several z's in depth, giving the crocs plenty of room to pull goblins down as well as ensuring severe injury from fall damage during times I choose to drain it and leave it dry.
Multi zlevels are also very useful for trap rooms. My fortress has an elaborate welcoming setup to accommodate visiting goblin hordes called the Serpentine Path. W and E of the inaccessible fortress are open rooms down, flanked with golden statues of happy goblins looting treasure and arrows pointing in. Goblin pathing ensures they take the bait. They are first greeted by a long hallway with ballistas firing the length. Connecting those two halls in the S is a large S-shaped walkway over a near endless pit. The whole walkway has spike traps giving the gobbos free dancing lessons, with arrow slits in the far wall to further ensure participation. Should a large portion of the gobbo party make it through the serpentine path, a lever is pulled to open a door in to one side while closing the other on the opposite side; this ensures the gobbos must reverse their entire visit back through the Serpentine Path. This treatment is more than enough to ensure even the largest visiting parties all eventually take the plunge. The pit is plenty deep enough (about 20z?) to ensure at least severe trauma is inflicted upon all of the unwanted guests. There are several viewing stations on the way down to accommodate dorfs wishing to make fond bad memories of the visitors' quick vertical tour of the fort. Oh, and when digging this pit, as each level was excavated the dorfs were kind enough to engrave the walls with murals of the history of the fort to help educate the gobbos during their brief stay. Multiple Zlevels make it all possible.