I make good use of danger rooms, because they make the occasional goblin ambush go by easy, but don't do much to the real threats like forgotten beasts, tantrum spirals and surviving nobles. Some people might say I'm cheating myself out of some fun, but if I lose a fort to enemies and I know I didn't do everything I could have done to win, I already feel cheated. No, when I want it harder, I start looking for terrifying glaciers on embark.
Also, danger rooms contributed heavily to one of my favorite narrative happenings thus far. It was summer of the first year in a new fort, and some zombies killed one of my dwarves. A small tantrum storm ensued, during which a miner went berserk and started hacking the feet off of several of his fellow dwarves. The hospital wasn't ready yet(I scrambled to build it as this happened), and the various one-footed dwarves never received treatment or crutches for their injuries, the stumps healing over naturally. They continued to hobble around the fort, and despite one of them being close friends with the chief medical dwarf, they never got crutches. Finally, I got a plan. I finished my danger room, and formed a squad called The Bewildered Crypts, made up entirely of crippled dwarves. Season after season they entered the danger room, no weapons, no armor, just cloaks(I couldn't figure out how to get them to drop the cloaks). I had been hoping to get them some broken thumbs and have them go to the hospital, where they might finally get crutches, but it never worked. Eventually, though, they became so strong, so agile, so tireless, that they seemed to function almost at normal capacity. Reforged in the fires their brethren set, these sons and daughters of Armok lived again.