Why yes, i have actually. It was a Roc by the name of Use, if i remember correctly.
I remember me, lovingly tending my first fort ever, when i get the message that a huge ass bird that dwarfs dragons has decided to take a stroll through my part of the woods.
So, i call in the dwarves, lock the doors, and prepare to watch my fortress succumb to a bloody, feathery end. I then notice all the Roc was doing was chasing my livestock around the map. After watching it slay a duck it finally caught up to after 5 minutes, (i was hoping it would lead Use to the goblin siege chilling at the edge of the map) i lose sight of it.
After looking for a bit, i assume it must have flown away after devouring half my herd. All is well and i let everyone out again. Then suddenly, HOLYHELLITSRIGHTNEXTTOMYENTRANCE. Apparently, it didn't leave. It just flew to the top of the mountain for a bit.
With the doors locked again, and a few dwarves scrambling outside, i watch in horror as it flies straight into my barracks, which was separate from the rest of the fort.
Thinking this will be the last time i see my 5 dwarf army, i order them to attack the beast, hoping they can injure it somewhat before they're torn to pieces. They immediately pile on it, blood is flying everywhere, and eventually, Use is killed. I check to see how many i lost, and to my surprise, none of my dwarves had any serious injuries.
According to the report, they had all gone apeshit crazy on the thing, the final blow being from a dwarf who latched on firmly and drove her steel spear into its brain. One of my happiest moments in DF.
And that was my first, and only encounter with a Roc.