Xylia
Terrarian
Build a huge slum village in bum of nowhere and keep everyone except Arms Dealer, Mechanic, Stylist and Goblin Tinkerer in there. Oh, and make Lava Waders.
That's it, arenas are only needed for gimmick runs(boomerang only, summon damage only, etc.) anyways.
Personal preference, I'm sure. I like to use arenas, and I don't do gimmick runs myself. *shrugs* They just make life easier. You could either use an arena and kill it fast, or not use an arena and kill it with significantly more effort required.
For example, I summoned Plantera in my current playthrough after I already had the Scourge of the Corruptor, Beetle Armor, Ankh Shield, and other goodies. Obviously, Plantera couldn't kill me if he tried. I still drug him back to the Arena I had made for my first Plantera kill. Why? Because it is nice and open, and unlike other places in the Jungle, he doesn't end up ducking inside of walls where I can't hit him, which makes it take longer to kill him.
And then, you have Destroyer. An Arena is really nice for him, because he loves burrowing through the ground where you can't hit him, and an Arena makes him jump out of the ground where he is more vulnerable. In fact, if you have the arena about a screen and a half above the ground, there are times where more than half of his entire body is out of the ground and you can turn him into scrap in record time with piercing weapons such as Nimbus Rods, and other similar things.
Without an Arena, fighting him on the ground would take a lot longer. Same goes for the Twins and Skeletron Prime; while flying around they'll oftentimes duck down into the ground where you can't hit them with very many weapons at all. That's why I like Arenas, it is just plain more efficient.
I could kill any of these bosses without an arena, but I don't find it fun or efficient.