Animal training seems a little hackish right now. War animals just gain double damage. Hunting animals get some different behaviors, which is good, but I think there's still room for improvement. What I'd like to see is the trainer's skill coming into play. The most obvious method to me is to give the animals a one-time bonus to skills and stats based on the trainer's skill. A trainer might not be able to train any of the animal's fighting skills higher than his own.
High skill levels may create masterwork or (more aesthetic, IMO) 'legendary' animals - they gain a large increase in some stats and skills, as well as becoming named right away. They could bond with their charge better, and go into a blood-frenzy when their charge is in mortal danger. This would inspire a happy thought in the dwarf ("He was inspired by the courage of <name>, loyal war-dog"), which of course would be useless if he actually died, but might help a little afterward if he didn't, especially if the dog ended up being tragically skewered in its enthusiasm.
Hunting animals could be more useful - it'd be good if they could retrieve some of their kills, perhaps with a shorter attention span if they're not trained well; they'd only drag the corpse a little way towards the refuse pile, in that case. They could also work together some, flanking a fast animal so that it turns and the one behind it can move in for the kill.
There's also the possibility of training animals to do ordinary things, like various other hauling jobs. It'd be silly to see a dog hauling a statue along, but I believe size already plays a role in encumbrance, so it'd still be at least somewhat realistic in its slowness. I think it'd also be pretty cute to have a 'medic-dog' with the coming improvements to health-care, that does trivial but time-consuming tasks like water-fetching and sits with injured dwarves to provide comfort if they don't already have a pet, as well as being a last line of defense if the enemy stumbled across the hospital.