One could consider traps in general as an exploit. A hallway with several weapon traps is an irresistible lure for goblin after goblin.
Stozu: "I'm gonna go through this hallway into the fortress" Runs down hallway, is sliced and diced by a trap full of large, serrated glass discs.
Ngebzo: "Hah! what an idiot! Watch me guys, I'll show you how to do it." Runs down hallway, is sliced and diced by a trap full of large, serrated glass discs.
Usbu: "Ngebzo always was an idiot. This is how it's done!" Runs down hallway, is sliced and diced by a trap full of large, serrated glass discs.
Stosbub: "I'm sure I can do better than those guys!" Runs down hallway, is sliced and diced by a trap full of large, serrated glass discs.
Ngom: "My turn!" Runs down hallway, is sliced and diced by a trap full of large, serrated glass discs.
Some people just don't learn.
There are currently lots of things in DF that are unbalanced in ways that make it hard to tell what is an exploit and what isn't. Having one trap with a single copper axe in your entrance certainly isn't. But having a hallway with 50 traps, each having 10 steel discs makes sieges into non-events. You might as well set [INVADERS:NO] in d_init.txt. Well, the trap hallway doesn't keep ambushers from killing wood haulers. But it will provide an endless stream of used troll fur thongs that can be used to buy out every caravan that comes along.
There are plenty of gray areas like this, where a little use of something is fine, but it's not at all hard to do it so much that it makes things trivial. Rock mugs area great way to provide some initial trade goods when you first start a fortress. But the raw material is essentially free (you actually want to get rid of it to keep FPS down), and once your stonecrafter gains a bit of experience you can easily use them to buy every item from every caravan that comes your way. So when does it become an exploit? Every player has to decide for him/herself.
But I think danger rooms are definitely an exploit. I built one a few forts ago, using the design in Girlinhat's danger room thread. It took less than a minute, real time, for my dwarves to hit legendary fighter, and just another couple of minutes for them to be legendary in weapon, armor and shield as well. And I'm running on a laptop with just an Intel Core 2 Duo T7700 (Lenovo T61p), so it's not like I've got an amazingly fast machine. You might as well just use runesmith to raise their skills and attributes. I'm sorry, but standing in a room for a few days/weeks with a bunch of broomsticks repeatedly poking out of the same holes at you should not make you a legendary swordsman.
Right now many aspects of DF are not really balanced out yet, so it's possible to take things to extremes and break the game. They can be fun to play with, but they don't make you a good player. There's nothing wrong with a new player using a danger room to help him learn to use a military effectively. It's hard to learn how to control troops in cambat if they keep dying to quickly (as if one can really "control" dwarves once they see an enemy). But I'm not impressed by someone who brags about his 90 multi-legendary soldiers (who have never fought anything, having "learned" everything in a danger room), all equipped with candy armor/weapons (that he was able to get because he used dfreveal to find out exactly where it was safe to dig). There comes a time to take off the training wheels and really learn to ride.