Why have I been forgotten by everyone

To train exotic animals you need a dungeon master. Once you have a Dungeon Master you can tame exotic animals. Once the animal is tame you can then train it as a beast of war.

In version .31 and upwards the dungeon master has been removed. He is no longer needed to train large animals in .34, in .31 he was. But there was a bug that prevented him from showing up.

They are fairly commonly found in sedimentary layers, such as

• Sandstone
• Siltstone
• Mudstone
• Shale
• Claystone
• Rock salt
• Limestone
• Conglomerate
• Dolomite
• Chert
• Chalk

If you're running an older version of DF (31.19 or earlier), you can check what sort of layers are available on the embark site.

Keep in mind you can burn wood to make coal, though it is less efficient, wood is available aboveground in most biomes, and in caverns. You can also use magma smelters and forges to remove the need for most coal, the notable exception being steelmaking, which requires fuel no matter what.