There was a thread a little while ago about an image with a Roman theatre, which is very similar to colloseums of that age. Take a look through older posts. Otherwise, a proper colloseum would be easy to do. For a (semi-)distant object, with Boolean modelling. A couple of cylinders for the walls, more cylinders and some cubes for the arches, cylinders for the seats, etc. Good texture wouldn't hurt, too. I'll make a try later and post an image. I don't know about Madison Square Garden, though.

-- erlik