I needed a few months to get used to the current military screen (coming from v28..39), but now I love it. Sure, it's completely different, but the possibilities of alerts and schedules are great. In the old version, could you set your squads to automatically patrol predefined routes in certain months while training/resting in others and still have full control during battle? Could you tell your civilians to actually go to a safe place during sieges (not just "go dance the door dance for me!") with one press of a button and very small amount of micromanagement? Is there actually anything that was better with the old system, except "it always was that way and we're used to it"?
Honestly, follow the tutorials and wiki articles step by step and you'll have a working military that can do the same things as the one in 40d. Yeah, I lost a fort or two before I understood what's going on, but that's just the learning cliff of DF... pretty damn hard to scale, but the view from the top is amazing. All the really funky stuff like custom uniforms and schedules isn't really needed in the beginning, but not that hard to understand, once you got the basics.
And the only major military bug I can think of right now is the difficulty of getting archers to train/work properly... some people seem to know how it's done to work every time, but I seem to get about 50/50 marksdwarves shooting stuff vs. marksdwarves clobbering stuff with their crossbows, even if they have everything they need.
Other than that, my little axe-wielding boozebeards train as planned, equip stuff as planned, attack as planned and (many times) die as planned... For the first time in DF history, military and combat do work quite well and almost everything that needs to be changed (in my opinion) can be done by little tweaks in the RAWs.