I practice karate, and as far as I know they say "arigatou gozaimashita" in karate dojos in Japan, which is past tense formal. As for politeness generally, I would say "arigatou gozaimasu" is what you'd say if you for example recieve a gift from your boss (or training from your teacher, as in karate), "arigatou" if you recieve a gift from a friend, and "doumo" if your friend hands you the table salt. In general, the longer, the more polite it is.
EDIT: Sorry, I missed your last question. At the beginning of lessons, the common phrase is "onegai shimasu", which is like a polite way of requesting something.