One of you is human and has most of the social rogue skills plus (fairly unreliable) lockpicking. The other of you is a werewolf with most of the stealth melee ranger skills. If necessary you can acquire one more of these latter by recruiting an NPC.
How do you free your captured member? There are enough guards that just storming the place is not an option—you need some kind of Guile Hero solution.
Things I have thought of so far:
- Sell the werewolf to the arena as a wolf. Odds are the cages for wolves will not be locked, only latched, so they will be able to get themselves out while no one is looking and then let the others of you in and/or go find your friend and release them. Then flee. This solution has serious issues if the cages area doesn't ever have very few guards.
- Volunteer to fight the newly acquired monster; attempt to Diplomacy (or Bribe) your way into being the first challengers. Somehow escape from the arena during a match in front of thousands of people. ...yeaaaah. Alternately, ask to be shown the monster before the fight, then precision-sneak-in later to free him somehow, maybe using the plan above.
- Find out where the arena administrators like to drink. Get one drunk and steal his keys. Distract the guards (maybe set something on fire, that's always fun), sneak in, find party member, use keys, flee.
- Get an administrator drunk, as before, but instead get him to cough up info on illegal dealings of the arena. (e.g., match fixing, illegal animal use.) Go find proof of same. Initiate blackmail. Cons: might not work at all, takes a lot of time.