There's really only four choices that stand out for me. In order of preference.
#1. Wardogs. The first, the easiest, the cheapest and the best. Not even exotic. Being able to bring 5-10 doggies that will end up as 10-25 doggies in just over a year is great. Combat works on multiple attacks and tiring the opponent out as much as it does actual combat prowess. Ablative armour for your dwarves. Just keep a mob of 50 with your main combat squad (trained by the squad leader), but keep them outside or you'll get infighting, They don't eat, need pastures or any stuff like that. Plus they're like little, portable bags of leather, bones and meat. So cute.... So useful.... So tasty.
#2. (cave/giant) Crocs. They're big, they tackle stuff, they lay bazillions of eggs. Too pricy for two, but that will become quite a few more within a few years. Suprisingly tough as well. Good, but doggies are better.
#3. Horses. Just because you often get a free one (making them sort of cheap for a breeding pair+1). Skull kicks, stomps and general size make them a lot more dangerous then you'd think. It's just the pasturing and slow breeding rate that holds them back.
#4. Giant War Eagles. They're kind of killy but rather fragile. Elves seem to bring them pretty reguarly, so buy them at every opportunity. They breed slow, maature slow. But they fly and move quickly. Nice for the flying more than anything else.
If ever the whole hunting "foo" thing gets fixed, I've got my suspicions that hunting dogs might come out even better than wardogs when attached to military squads.