There sure is a lot going on with pre-order bonuses for Borderlands 2. GameStop has the exclusive on an arena called the "Creature Slaughter Dome," which I must say is an accurate name.
There doesn't seem to be much to it other than shooting the various creatures that inhabit Pandora, though you are able to bring experience and loot, including Moxxi's Rocket Launcher, back into the core game. So, unless you are a completionist, I wouldn't worry about needing this content.
You know what would have been even better for the game to include? A pleasure dome.