Pretty simple one, and maybe not so much of a challenge, but it can prove interesting.
All you have to do is prepare a large area (either by "fencing in" an aboveground area or digging out a space underground) and then stock it with at least one breeding pair of wild animals.
The idea here is to have a ready supply of wild beasties for you to play with, and it can also get you a little use out of feature creatures without having to wait for the dungeon master. Capture and then release a few deer into your enclosure, and within a few years you'll have a nice-sized herd to deal with. Carefully extract a breeding pair of cave crocodiles or naked mole dogs, and you'll be able to save them from extinction.
These wild-bred creatures can be used to train (or just use) hunters, they can be recaptured and put into arena fights, or they can just add a little spice to an otherwise barren treefarm. Furthermore, these animals will have no desire to wander through your corridors, so you won't have to design complex airlocks to keep them out of your hair. And if one does happen to get in, they'll be dealt with quite quickly (or at least make things interesting for your civvies).
So, that's basically it. Capture wild animals, put wild animals in controlled pen, let wild animals breed, do fun things with wild animals.
To really spice things up, drop a pack of peasants in the middle of a large pen filled with predators. There are levers that will take them to safety, but will they be able to make it? Alternatively, give them all wooden spears from the elves, a suit of dog leather armor, and wish them the best on their first hunting trip. By the way, elephants are in season.