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Easy sneak skill increase
When you can reach the Greybeards at High Hrothgar you can level up your sneak skill in a very easy way. All you have to do is sneak behind one of the Greybeards and wait untill you become undetected. Then all you have to do is attack them and then repeat the Greybeards will not attack you in anyway and this is not a crime. You can use a weapon but you have the risk of killing them it works fine while unarmed.
Easy XP, Smithing, & Speech Skill
Every time you go to a forge, make sure to talk to the person in charge of it, and buy all the iron ingot and leather or leather strips they are selling. Then, make as many leather strips as it takes for each iron ingot. Take it to the forge, and make an iron dagger that only takes one of each ingredient to create. If you sell it back to the merchant, sell it one at a time so you create more transactions to level up the Speech skill
Infinite Arrows
If you pickpocket someone who shoots target dummies with arrows and take whatever arrows they were using (usually iron or steel) and give them 1 of the arrow type you want infinite of, they will shoot that type of arrow instead. Just collect them as they hit the dummy and you can build up a nice stockpile.