I picked my go-to class/race combination: cornac wildfire archmage. I tried to get a decent shielding rune from the shop (meaning about 150 points) and then proceeded to murder things the usual archmage way.
The first boss was from difficult to horrible on those maybe 5-7 times I fought against it. The second boss was cake. Third boss was a wildfire archmage too, but mine was stronger. Fourth boss had gloom and delightful damage, so glad to have draconic will and AM shields. The last boss took some heavy beating with close to 15 K health and chant of fortress/fortitude IIRC. It might not sound like much but arena characters have very crappy gear so dealing good damage is difficult.
Judging from the lack of wins people don't play arena much but I found it pretty entertaining. But definitely do play on the harder difficulties, this was certainly much much easier than playing the vanilla campaign on Madness.
Now that I've gotten a mark on the madness win column, maybe one of my ongoing characters will win the vanilla campaign too

BTW, can I leave the arena now or what happens next?
EDIT. The leveling up from 41 ---> 42 happaned after killing Arena Master, that's why no second prodigy.
http://te4.org/characters/121593/tome/7 ... b8e4b2681f