Well, a few running themes. First of all, cage traps in the front defense, but only a few. Catch the first 3-4 ambushers and let the rest hit your army. Those few skimmed off the top will be for live training and other mischief.
As for the mischief, there's the usual assortment. Pitting towers are rather dwarfy, and very Spartan. Gladiator pits are a MUST, and not just stripped prisoners and groups of 2-3 gobbos. Things like, wild bears, and whole captured ambush squads. To be a serious gladiator pit, it needs flooding capacity and a cage of untame lions nearby. The ability to breeds and handle untame creatures will be an important challenge. What better way to show off than have your commander wrestle a lion into the dirt? Unarmed matches would be nice too. Gobbo with a weak weapon like a copper sword, or any elf, against an unarmed dwarf, or with only a shield. Underwater combat as well, have a flooded arena WITH lions and goblins and a few trolls! Screw pump grind chambers would be nice, to train your stats as well. Potentially don't use windmills, use only raw dwarf power.
As for setup, towers and pits, in my opinion. Spiraling towers of multi-tiered barracks, archer vantage points from within the barracks to rain down on sieges. Civilians are important, and should be properly restrained. They live on the surface, farming various crops and dumping them through holes to the soldier's barracks, completely broken from contact with the rest of the fort and only used as a sort of slave labor (which means your food source will never tantrum). A grand mess hall is a must, a large, long table to eat at, preferably two tables with chairs on opposite sides, to give the appearance of a single long table. Kitchen within the mess hall, butcher as well. Survive on meat whenever possible, only turning to plants for booze and when enemies aren't plentiful. You'll probably want to mod the raws here, to allow ethics to let you eat goblins and other sentients, so that you can sustain yourselves on enemy attacks alone. You can also mod goblins to siege or ambush sooner, so population cap isn't that important if you tweak it. Killing fields too, a large roughly paved area to engage in flat out open combat, or more creative with a few fortifications and pillars. Perhaps simulate a ruins environment?
Danger rooms should be dangerous as well. High-quality wooden spears, or copper/iron spears maybe, add some real risk to it. Doctors stay out of combat, much like planters, with the ideology of "I got stabbed, do your job and fix this".